Changes from report parliamentary committee draft to plenary report

Added= risk factors other than in the pricing function .

Added4. 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:

Addedwhere:

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

Added= the value of the reference 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 reference credit spread rate risk factor;

Added= the pricing function of the eligible hedge i

Added= risk factors other than in the pricing function .

Added5. 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:

Addedwhere:

Added= the sensitivities of the aggregate CVA to an equity spot price risk factor;

Added= the value of the equity spot price;

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 equity spot price risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

Added6. 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:

Addedwhere:

Added= the sensitivities of the aggregate CVA to a commodity spot price risk factor;

Added= the value of the commodity spot price;

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 commodity spot price risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

AddedInstitutions shall calculate the vega risk sensitivities of the aggregate CVA to risk factors consisting of implied volatility, as well as of an eligible hedge instrument to those risk factors, as follows:

Addedwhere:

Added= the sensitivities of the aggregate CVA to an implied volatility risk factor;

Added= the value of the implied volatility risk factor, expressed as a percentage;

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

Added= risk factors other than in the pricing function ;

Added= the sensitivities of the eligible hedge instrument i to an implied volatility risk factor;

Added= the pricing function of the eligible hedge i;

Added= risk factors other than in the pricing function .

Added1. For currencies referred to in Article 383c(2), the risk weights of risk-free rate delta sensitivities for each bucket in Table 1 shall be the following:

AddedTable 1

Added2. For currencies other than the currencies referred to in Article 383c(2), the risk weight of risk-free rate delta sensitivities shall be 1.58%.

Added3. For inflation rate risk denominated in one of the currencies referred to in Article 383c(2), the risk weight of the sensitivity to the inflation rate risk shall be 1.11%.

Added4. For inflation rate risk denominated in a currency other than the currencies referred to in Article 383c(2), the risk weight of the sensitivity to the inflation rate risk shall be 1.58%.

Added5. The risk weights to be applied to sensitivities to interest rate vega risk factors and to inflation rate vega risk factors for all currencies shall be 100%.

Added1. For the currencies referred to in Article 383c(2), the correlation parameters that institutions shall apply for the aggregation of the risk-free rate delta sensitivities between the different buckets set out in Table 2 shall be the following:

AddedTable 2

Added2. The correlation parameter that institutions shall apply for the aggregation of inflation rate delta risk sensitivity and risk-free rate delta sensitivity denominated in the same currency shall be 40%.

Added3. The correlation parameter that institutions shall apply for the aggregation of inflation rate vega risk factor sensitivity and interest rate vega risk factor sensitivity denominated in the same currency shall be 40%.

Added1. The risk weights for all delta sensitivities to foreign exchange risk factor between an institution’s reporting currency and another currency shall be 11%.

Added2. The risk weights for all vega sensitivities to foreign exchange risk factor shall be 100%.

Added1. A uniform correlation parameter equal to 60% shall apply for the aggregation of sensitivities to delta ▌foreign exchange risk factor across buckets.

Added2. A uniform correlation parameter equal to 60% shall apply for the aggregation of sensitivities to vega foreign exchange risk factor across buckets.

Added1. The risk weights for the delta sensitivities to credit spread risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 3 and shall be the following:

AddedTable 3

Added2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets laid down in Table 3. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to either bucket 9 or bucket 18 in Table 3, depending on the credit quality of the issuer.

Added3. Institutions shall assign to buckets 10 and 19 in Table 3 only exposures that reference qualified indices as referred to in Article 383b(4).

Added4. Institutions shall use a look-through approach to determine the sensitivities of an exposure referencing a non-qualified index.

Added1. Between two sensitivities and , resulting from risk exposures assigned to sector buckets 1 to 9 and 11 to 18, as laid down in Article 383o(1), Table 3, the correlation parameter shall be set as follows:

Addedwhere:

Addedshall be equal to 1 where the two vertices of the sensitivities k and l are identical, otherwise it shall be equal to 90%;

Addedshall be equal to 1 where the two names of sensitivities k and l are identical, 90% if the two names are distinct but legally related and otherwise it shall be equal to 50%;