Article 383i | CRR | Regulation 575/2013

Article 383i - Regulation 575/2013 (CRR)

Article 383i

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 .

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 .

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 .

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 .

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 .

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 .

PART ONE - GENERAL PROVISIONS (Article 1-24)

PART TWO - OWN FUNDS AND ELIGIBLE LIABILITIES (Article 25-91)

PART THREE - CAPITAL REQUIREMENTS (Article 92-386)

TITLE I - GENERAL REQUIREMENTS, VALUATION AND REPORTING (Article 92-106)

TITLE II - CAPITAL REQUIREMENTS FOR CREDIT RISK (Article 107-311)

TITLE III - OWN FUNDS REQUIREMENT FOR OPERATIONAL RISK (Article 311a-324)

TITLE IV - OWN FUNDS REQUIREMENTS FOR MARKET RISK (Article 325-377)

TITLE V - OWN FUNDS REQUIREMENTS FOR SETTLEMENT RISK (Article 378-380)

TITLE VI - OWN FUNDS REQUIREMENTS FOR CREDIT VALUATION ADJUSTMENT RISK (Article 381-386)Article 381 - Meaning of credit valuation adjustment Q&A Article 382 - Scope RTSQ&AGL Article 382a - Approaches for calculating the own funds requirements for CVA risk Article 383 - Standardised approach RTSQ&A Article 383a - Regulatory CVA model Article 383b - Own funds requirements for delta and vega risks Article 383c - Interest rate risk factors Article 383d - Foreign exchange risk factors Article 383e - Counterparty credit spread risk factors Article 383f - Reference credit spread risk factors Article 383g - Equity risk factors Article 383h - Commodity risk factors Article 383i - Delta risk sensitivities Article 383j - Vega risk sensitivities Article 383k - Risk weights for interest rate risk Article 383l - Intra-bucket correlations for interest rate risk Article 383m - Correlation across buckets for interest rate risk Article 383n - Risk weights for foreign exchange risk Article 383o - Correlations for foreign exchange risk Article 383p - Risk weights for counterparty credit spread risk Article 383q - Intra-bucket correlations for counterparty credit spread risk Article 383r - Correlations across buckets for counterparty credit spread risk Article 383s - Risk weights for reference credit spread risk Article 383t - Intra-bucket correlations for reference credit spread risk Article 383u - Correlations across buckets for reference credit spread risk Article 383v - Risk weight buckets for equity risk Article 383w - Correlations across buckets for equity risk Article 383x - Risk weight buckets for commodity risk Article 383z - Correlations across buckets for commodity risk Article 384 - Basic approach Q&A Article 385 - Simplified approach Article 386 - Eligible hedges Q&A

PART FOUR - LARGE EXPOSURES (Article 387-403)

PART FIVE - EXPOSURES TO TRANSFERRED CREDIT RISK (Article 404-410)

PART SIX - LIQUIDITY (Article 411-428az)

PART SEVEN - LEVERAGE (Article 429-429g)

PART SEVEN A - REPORTING REQUIREMENTS (Article 430-430c)

PART EIGHT - DISCLOSURE BY INSTITUTIONS (Article 431-455)

PART NINE - DELEGATED AND IMPLEMENTING ACTS (Article 456-464)

PART TEN - TRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS (Article 465-520)

PART ELEVEN - FINAL PROVISIONS (Article 521)

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Article 383i - Regulation 575/2013 (CRR)

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