Changes from report parliamentary committee draft to plenary report

Addedshall be equal to 1 where the two names are both in buckets 1 to 9 or are both in buckets 11 to 18, otherwise it shall be equal to 80%.

Added2. Between two sensitivities and , resulting from risk exposures assigned to sector buckets 10 and 19, 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 and the two indices are of the same series, 90% if the two indices are the same but of distinct series and otherwise it shall be equal to 80%;

Addedshall be equal to 1 where the two names are both in buckets 10 or both in bucket 19, otherwise it shall be equal to 80%.

AddedThe cross-bucket correlations for credit spread delta risk shall be the following:

AddedTable 4

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

AddedTable 5

Added1a. Risk weights for reference credit spread volatilities shall be set at 100%.

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 in Table 5. Risk exposures from any issuer that an institution can not assign to a sector in such a manner shall be assigned to bucket 19 in Table 5, depending on the credit quality of the issuer.

Added3. Institutions shall assign to buckets 10 and 18 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 of Article 383r(1), Table 5, 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%;

Addedshall be equal to 1 where the two names are both in buckets 1 to 9 or are both in buckets 11 to 18, otherwise it shall be equal to 80%.

Added2. Between two sensitivities and , resulting from risk exposures assigned to sector buckets 10 and 19, 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 and the two indices are of the same series, 90% if the two names are distinct but legally related and otherwise it shall be equal to 80%;

Addedshall be equal to 1 where the two names are both in buckets 10 or both in bucket 19, otherwise it shall be equal to 80%.

AddedCross-bucket correlation for the reference credit spread risk

Added1. The cross-bucket correlations for the reference credit spread delta risk and reference credit spread vega risk shall be the same as the cross-bucket correlation for the counterparty credit spread delta risk, set out in Article 383q, Table 4.

Added2. By derogation from paragraph 1, the cross-bucket correlation values calculated in paragraph 1 shall be divided by 2 for buckets 1 to 8 and 11 to 17.

Added1. The risk weights for the delta sensitivities to equity spot price risk factors shall be the same for all equity risk exposures within each bucket in Table 6 and shall be the following:

AddedTable 6

Added2. For the purposes of paragraph 1, what constitutes a small and a large capitalisation shall be specified in the regulatory technical standards referred to in Article 325bd(7).

Added3. For the purposes of paragraph 1, what constitutes an emerging market and an advanced economy shall be specified in the regulatory technical standards referred to in Article 325ap(3).

Added4. When assigning a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by industry sector. Institutions shall assign each issuer to one of the sector buckets in paragraph 1, Table 6, and shall assign all issuers from the same industry to the same sector. Risk exposures from any issuer that an institution cannot assign to a sector in that fashion shall be assigned to bucket 11. Multinational or multi-sector equity issuers shall be allocated to a particular bucket on the basis of the most material region and sector in which the equity issuer operates.

Added5. The risk weights for equity vega risk shall be set at 78% for buckets 1 to 8 and bucket 12, and to 100% for all other buckets.

AddedThe cross-bucket correlation parameter for equity delta and vega risk shall be set at:

Added(a) 15%, where the two buckets fall within buckets 1 to 10 of Article 383t(1), Table 6;

Added(b) 75%, where the two buckets are buckets 12 and 13 of Article 383t(1), Table 6;

Added(c) 45%, where one of the buckets is bucket 12 or 13 of Article 383t(1), Table 6, and the other bucket falls between buckets 1 to 10 of Article 383t(1), Table 6;

Added(d) 0%, where one of the two buckets is bucket 11 of Article 383t(1), Table 6.

Added1. The risk weights for the delta sensitivities to commodity spot price risk factors shall be the same for all commodity risk exposures within each bucket in Table 7 and shall be the following:

AddedTable 7

Added2. The risk weights for commodity vega risk shall be set at 100%.

Added1. The cross-bucket correlation parameter for commodity delta risk shall be set at:

Added(a) 20%, where the two buckets fall within buckets 1 to 11 of Article 383v(1), Table 7;

Added(b) 0%, where one of the two buckets is bucket 12 of Article 383v(1), Table 7.

Added2. The cross-bucket correlation parameter for commodity vega risk shall be set at:

Added(a) 20%, where the two buckets fall within buckets 1 to 11 of Article 383v(1), Table 7;

Added(b) 0%, where one of the two buckets is bucket 12 of Article 383v(1), Table 7.’;

Added(170) Articles 384, 385 and 386 are replaced by the following:

Added‘Article 384 Basic approach

Added1. An institution shall calculate the own funds requirements for CVA risk in accordance with paragraphs 2 or 3, as applicable, for a portfolio of transactions with one or more counterparties by using one of the following formulae, as appropriate:

Added(a) the formula set out in paragraph 2, where the institution includes in the calculation one or more eligible hedges recognised in accordance with Article 386;

Added(b) the formula set out in paragraph 3, where the institution does not include in the calculation any eligible hedges recognised in accordance with Article 386.

AddedThe approaches set out in points (a) and (b) shall not be used in combination.

Added2. An institution that meets the condition referred to in paragraph 1, point (a), shall calculate the own funds requirements for CVA risks as follows:

Addedwhere:

Added= the own funds requirements for CVA risk under the basic approach;

Added= the own funds requirements for CVA risk under the basic approach as calculated in accordance with paragraph 3 for an institution that meets the condition laid down in paragraph 1, point (b);

Added= 0,65;

Added= 0,25;

Addedwhere: