Title VI Own Funds Requirements for Credit Valuation Adjustment Risk (arts. 381-386)

Comparing proposed amendment...


Applicable	Article 381 Meaning of credit valuation adjustment
Amended	Article 382 Scope
To be inserted	Article 382a Approaches for calculating the own funds requirements for CVA risk
Applicable	Article 383 Advanced method
Inserted	Article 383a Regulatory CVA model
To be inserted	Article 383b Own funds requirements for delta and vega risks
To be inserted	Article 383c Interest rate risk factors
To be inserted	Article 383d Foreign exchange risk factors
To be inserted	Article 383e Counterparty credit spread risk factors
To be inserted	Article 383f Reference credit spread risk factors
To be inserted	Article 383g Equity risk factors
To be inserted	Article 383h Commodity risk factors
To be inserted	Article 383i Delta risk sensitivities
To be inserted	Article 383j Vega risk sensitivities
To be inserted	Article 383k Risk weights for interest rate risk
To be inserted	Article 383l Intra-bucket correlations for interest rate risk
To be inserted	Article 383m Correlation across buckets for interest rate risk
To be inserted	Article 383n Risk weights for foreign exchange risk
To be inserted	Article 383o Correlations for foreign exchange risk
To be inserted	Article 383p Risk weights for counterparty credit spread risk
To be inserted	Article 383q Intra-bucket correlations for counterparty credit spread risk
To be inserted	Article 383r Correlations across buckets for counterparty credit spread risk
To be inserted	Article 383s Risk weights for reference credit spread risk
To be inserted	Article 383t Intra-bucket correlations for reference credit spread risk
To be inserted	Article 383u Correlations across buckets for reference credit spread risk
To be inserted	Article 383v Risk weight buckets for equity risk
To be inserted	Article 383w Correlations across buckets for equity risk
To be inserted	Article 383x Risk weight buckets for commodity risk
To be inserted	Article 383z Correlations across buckets for commodity risk
Amended	Article 384 Standardised method
Amended	Article 385 Alternative to using CVA methods for calculating own funds requirements
Amended	Article 386 Eligible hedges

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Title VI Own Funds Requirements for Credit Valuation Adjustment Risk (arts. 381-386)

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