Art. 383e · Counterparty credit spread risk factors

Version in force 1 January 2025, Inserted +471 −0§

Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)

Applies from: not readable (an inserted provision states its own application date only in prose) why

Explanation, written by a model and checked against the cited text

This is a newly inserted article defining counterparty credit spread risk factors, specifying that the delta risk factors for counterparty credit spread sensitive instruments in the CVA portfolio are the credit spreads of individual counterparties, reference names and qualified indices for maturities of 0.5, 1, 3, 5 and 10 years.

It also states that the counterparty credit spread risk class is not subject to vega risk own funds requirements.

Cited: Art. 383e, v2 (external, EUR-Lex)

v1 is the previous version, v2 this one.

Article 383e
Counterparty credit spread risk factors
1. The counterparty credit spread delta risk factors applicable to counterparty credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of individual counterparties and reference names and qualified indices for the following maturities: 0,5 years, 1 year, 3 years, 5 years and 10 years.
2. The counterparty credit spread risk class shall not be subject to vega risk own funds requirements.