Article 325m - Credit spread risk factors for non-securitisation
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Article 387 - Subject matterArticle 389 - DefinitionQ&AArticle 390 - Calculation of the exposure valueITS/RTSQ&AArticle 391 - Definition of an institution for large exposures purposesITS/RTSQ&AArticle 392 - Definition of a large exposureQ&AArticle 393 - Capacity to identify and manage large exposuresArticle 394 - Reporting requirementsITS/RTSQ&AArticle 395 - Limits to large exposuresQ&AOPGLArticle 396 - Compliance with large exposures requirementsGLArticle 397 - Calculating additional own funds requirements for large exposures in the trading bookArticle 398 - Procedures to prevent institutions from avoiding the additional own funds requirementArticle 399 - Eligible credit mitigation techniquesQ&AArticle 400 - ExemptionsQ&AArticle 401 - Calculating the effect of the use of credit risk mitigation techniquesQ&AOPArticle 402 - Exposures arising from mortgage lendingQ&AArticle 403 - Substitution approachQ&AGL
Article 429 - Calculation of the leverage ratioQ&AArticle 429a - Exposures excluded from the total exposure measureQ&ADCArticle 429b - Calculation of the exposure value of assetsQ&AArticle 429c - Calculation of the exposure value of derivativesQ&AArticle 429d - Additional provisions on the calculation of the exposure value of written credit derivativesQ&AArticle 429e - Counterparty credit risk add-on for securities financing transactionsQ&AArticle 429f - Calculation of the exposure value of off-balance-sheet itemsQ&AArticle 429g - Calculation of the exposure value of regular-way purchases and sales awaiting settlementQ&A
Article 430 - Reporting on prudential requirements and financial informationITS/RTSQ&AArticle 430a - Specific reporting obligationsQ&AArticle 430b - Specific reporting requirements for market riskITS/RTSArticle 430c - Feasibility report on the integrated reporting system
Article 456 - Delegated actsQ&AOPArticle 457 - Technical adjustments and correctionsArticle 458 - Macroprudential or systemic risk identified at the level of a Member StateOPArticle 459 - Prudential requirementsArticle 460 - LiquidityITS/RTSQ&AArticle 461 - Review of the phasing-in of the liquidity coverage requirementArticle 461a - Alternative standardised approach for market riskArticle 462 - Exercise of the delegationArticle 463 - Objections to regulatory technical standardsArticle 464 - European Banking Committee
Credit spread risk factors for non-securitisation
The delta credit spread risk factors to be applied by institutions to non-securitisation instruments that are sensitive to credit spread shall be the issuer credit spread rates of those instruments, inferred from the relevant debt instruments and credit default swaps, and mapped to each of the following maturities: 0,5 years, 1 year, 3 years, 5 years, 10 years. Institutions shall apply one risk factor per issuer and maturity, regardless of whether those issuer credit spread rates are inferred from debt instruments or credit default swaps. The buckets shall be sector buckets, as referred to in Section 6, and each bucket shall include all the risk factors allocated to the relevant sector.
The vega credit spread risk factors to be applied by institutions to options with non-securitisation underlyings that are sensitive to credit spread shall be the implied volatilities of the underlying's issuer credit spread rates inferred as laid down in paragraph 1, which shall be mapped to the following maturities in accordance with the maturity of the option subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation.
The curvature credit spread risk factors to be applied by institutions to non-securitisation instruments shall consist of one vector of credit spread rates, representing a credit spread curve specific to the issuer. For each instrument, the vector shall contain as many components as there are different maturities of credit spread rates used as variables in the institution's pricing model for that instrument. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation.
Institutions shall calculate the sensitivity of the instrument to each risk factor used in the curvature risk formula in accordance with Article 325g. For the purposes of the curvature risk, institutions shall consider vectors inferred from either relevant debt instruments or credit default swaps and with a different number of components as the same risk factor, provided that those vectors correspond to the same issuer.