in force 2025-01-01 INSERTED+4,782 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unknown (an inserted provision states its own application date only in prose)
Article 383i is a newly inserted provision setting out how institutions must calculate delta risk sensitivities of the aggregate CVA and of eligible hedges across interest rate, inflation, foreign exchange, counterparty credit spread, reference credit spread, equity, and commodity risk factors.
For each risk factor category the provision defines a specific sensitivity formula along with the variables used in that formula, such as the risk factor values, the aggregate CVA function, other risk factors, the eligible hedge pricing function, and the other risk factors within that pricing function.
Cited: Art. 383i, v2
text before / after
inserted text (02013R0575-20250101)
Article 383i Delta risk sensitivities 1. Institutions shall calculate delta sensitivities consisting of interest rate risk factors as follows: (a) the delta sensitivities of the aggregate CVA to risk factors consisting of risk-free rates, as well as of an eligible hedge to those risk factors, shall be calculated as follows: where: = the sensitivities of the aggregate CVA to a risk-free rate risk factor; rkt = the value of the risk-free rate risk factor k with maturity t; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than rkt in VCVA; = the sensitivities of the eligible hedge i to a risk-free rate risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than rkt in the pricing function Vi; (b) the delta sensitivities to risk factors consisting of inflation rates as well as of an eligible hedge to those risk factors, shall be calculated as follows: where: = the sensitivities of the aggregate CVA to an inflation rate risk factor; inflkt = the value of an inflation rate risk factor k with maturity t; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than inflkt in VCVA; = the sensitivities of the eligible hedge i to an inflation rate risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than inflkt in the pricing function Vi. 2. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of foreign exchange spot rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: = the sensitivities of the aggregate CVA to a foreign exchange spot rate risk factor; FXk = the value of the foreign exchange spot rate risk factor k; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than FXk in VCVA; = the sensitivities of the eligible hedge i to a foreign exchange spot rate risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than FXk in the pricing function Vi. 3. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of counterparty credit spread rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: = the sensitivities of the aggregate CVA to a counterparty credit spread rate risk factor; ccskt = the value of the counterparty credit spread rate risk factor k at maturity t; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than ccskt in VCVA; = the sensitivities of the eligible hedge i to a counterparty credit spread rate risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than ccskt in the pricing function Vi. 4. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of reference credit spread rates, as well as of an eligible hedge instrument to those risk factors, as follows: where: = the sensitivities of the aggregate CVA to a reference credit spread rate risk factor; rcskt = the value of the reference credit spread rate risk factor k at maturity t; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than ccskt in VCVA ; = the sensitivities of the eligible hedge i to a reference credit spread rate risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than ccskt in the pricing function Vi. 5. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of equity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows: where: = the sensitivities of the aggregate CVA to an equity spot price risk factor; EQ = the value of the equity spot price; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than EQ in VCVA; = the sensitivities of the eligible hedge i to an equity spot price risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than EQ in the pricing function Vi. 6. Institutions shall calculate the delta sensitivities of the aggregate CVA to risk factors consisting of commodity spot prices, as well as of an eligible hedge instrument to those risk factors, as follows: where: = the sensitivities of the aggregate CVA to a commodity spot price risk factor; CTY = the value of the commodity spot price; VCVA = the aggregate CVA calculated by the regulatory CVA model; x,y = risk factors other than CTY in VCVA; = the sensitivities of the eligible hedge i to a commodity spot price risk factor; Vi = the pricing function of the eligible hedge i; w,z = risk factors other than CTY in the pricing function Vi.