Art. 383f · Reference credit spread risk factors

Version in force 1 January 2025, Inserted +636 −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 added provision defining reference credit spread risk factors for the CVA portfolio, covering both delta and vega sensitivities.

It specifies that delta risk factors are the credit spreads of all maturities for all reference names within a bucket, with one net sensitivity per bucket, and that vega risk factors are the volatilities of the credit spreads of all tenors for all reference names within a bucket, again with one net sensitivity per bucket.

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

v1 is the previous version, v2 this one.

Article 383f
Reference credit spread risk factors
1. The reference credit spread delta risk factors applicable to reference credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of all maturities for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.
2. The reference credit spread vega risk factors applicable to instruments in the CVA portfolio sensitive to reference credit spread volatility shall be the volatilities of the credit spreads of all tenors for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.