Version in force , Inserted +706 −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)
Explanation, written by a model and checked against the cited text
A new Article 383g has been added, setting out equity risk factors used within the CVA framework, including which buckets apply and how equity delta and vega risk factors are determined for instruments in the CVA portfolio.
It specifies that all equity risk factor buckets are those referred to in Article 383t, and that one net sensitivity is computed per bucket for both spot-price-sensitive and volatility-sensitive instruments.
Cited: Art. 383g, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
Article 383g Equity risk factors 1. The buckets for all equity risk factors shall be the buckets referred to in Article 383t. 2. The equity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity spot prices shall be the spot prices of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket. 3. The equity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to equity volatility shall be the implied volatilities of all equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket.