Changes from report parliamentary committee draft to plenary report

Addedfor all risk factors in bucket b;

Addedfor all risk factors in bucket c.

Added1. For the interest rate delta risk factors, including inflation rate risk, there shall be one bucket per currency, with each bucket containing different types of risk factors.

AddedThe interest rate delta risk factors that are applicable to interest-rate sensitive instruments in the CVA portfolio shall be the risk-free rates per currency concerned and per each of the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years.

AddedThe interest rate delta risk factors applicable to inflation-rate sensitive instruments in the CVA portfolio shall be the inflation rates per currency concerned and per each of the following maturities: 1 year, 2 years, 5 years, 10 years and 30 years.

Added2. The currencies for which an institution shall apply the interest rate delta risk factors in accordance with paragraph 1 shall be USD, EUR, GBP, AUD, CAD, SEK, JPY and the institution’s reporting currency.

Added3. For currencies not specified in paragraph 2, the interest rate delta risk factors shall be the absolute change of the inflation rate and the parallel shift of the entire risk-free curve for a given currency.

Added4. Institutions shall obtain the risk-free rates per currency from money market instruments held in their trading book that have the lowest credit risk, including overnight index swaps.

Added5. Where institutions cannot apply the approach referred to in paragraph 4, the risk-free rates shall be based on one or more market-implied swap curves used by the institutions to mark positions to market, such as the interbank offered rate swap curves.

AddedWhere the data on market-implied swap curves described in the first subparagraph of this paragraph are insufficient, the risk-free rates may be derived from the most appropriate sovereign bond curve for a given currency.

Added1. The foreign exchange delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to foreign exchange spot rates shall be the spot foreign exchange rates between the currency in which an instrument is denominated and the institution's reporting currency or the institution's base currency where the institution is using a base currency in accordance with Article 325q(7). There shall be one bucket per currency pair, containing a single risk factor and a single net sensitivity.

Added2. The foreign exchange vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to foreign exchange volatility shall be the implied volatilities of foreign exchange rates between the currency pairs referred to in paragraph 1. There shall be one bucket for all currencies and maturities, containing all foreign exchange vega risk factors and a single net sensitivity.

Added3. Institutions shall not be required to distinguish between onshore and offshore variants of a currency for foreign exchange delta and vega risk factors.

Added1. The counterparty credit spread delta risk factor 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.

Added▌

Added2a. The counterparty credit spread risk class is not subject to vega risk own funds requirements.

Added1. The reference credit spread delta risk factor 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.

Added2. The reference credit spread vega risk factor applicable to instruments in the CVA portolio 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.

Added1. The buckets for all equity risk factors shall be the buckets referred to in Article 383s.

Added2. 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.

Added3. 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 the equities mapped to the same bucket referred to in paragraph 1. There shall be one net sensitivity computed for each bucket.

Added1. The buckets for all commodity risk factors shall be the sectorial buckets referred to in Article 383v.

Added2. The commodity delta risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity spot prices shall be the spot prices of all commodities mapped to the same sectorial bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sectorial bucket.

Added3. The commodity vega risk factors to be applied by institutions to instruments in the CVA portfolio sensitive to commodity price volatility shall be the implied volatilities of all the commodities mapped to the same sectorial bucket referred to in paragraph 1. There shall be one net sensitivity computed for each sectorial bucket.

Added1. Institutions shall calculate delta sensitivities consisting of interest rate risk factors as follows:

Added(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:

Addedwhere:

Added= the sensitivities of the aggregate CVA to a risk-free rate risk factor;

Added= the value of the risk-free rate risk factor k with maturity t;

Added= the aggregate CVA calculated by the regulatory CVA model;

Added= risk factors other than in ;

Added= the sensitivities of the eligible hedge i to a risk-free rate risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

Added(b) the delta sensitivities to risk factors consisting of inflation rates as well as of an eligible hedge to those risk factor, shall be calculated as follows:

Addedwhere:

Added= the sensitivities of the aggregate CVA to an inflation rate risk factor;

Added= the value of an inflation rate risk factor k with maturity t;

Added= the aggregate CVA calculated by the regulatory CVA model;

Added= risk factors other than in ;

Added= the sensitivities of the eligible hedge i to an inflation rate risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

Added2. 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:

Addedwhere:

Added= the sensitivities of the aggregate CVA to a foreign exchange spot rate risk factor;

Added= the value of the foreign exchange spot rate risk factor k;

Added= the aggregate CVA calculated by the regulatory CVA model;

Added= risk factors other than in ;

Added= the sensitivities of the eligible hedge i to a foreign exchange spot rate risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

Added3. 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:

Addedwhere:

Added= the sensitivities of the aggregate CVA to a counterparty credit spread rate risk factor;

Added= the value of the counterparty credit spread rate risk factor k at maturity t;

Added= the aggregate CVA calculated by the regulatory CVA model;

Added= risk factors other than in ;

Added= the sensitivities of the eligible hedge i to a counterparty credit spread rate risk factor;

Added= the pricing function of the eligible hedge i