Changes between two versions
What changed between the plenary report and the adopted text
From · plenary report· 10 Feb 2023
on the proposal for a regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor
To · adopted text· 24 Apr 2024
Amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor
These two texts have too little in common to compare paragraph by paragraph: they are different documents rather than versions of one (for example one group’s motion and the joint text that was adopted).
+12 added · −2,829 removed · 1 changed paragraphs, packaging included.
Part 38 of 48: Paragraphs 2221–2280
Removed:1. Institutions shall calculate delta sensitivities consisting of interest rate risk factors as follows:
Removed:(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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to a risk-free rate risk factor;
Removed:= the value of the risk-free rate risk factor k with maturity t;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to a risk-free rate risk factor;
Removed:= the pricing function of the eligible hedge i;
Removed:= risk factors other than in the pricing function .
Removed:(b) the delta sensitivities to risk factors consisting of inflation rates as well as of an eligible hedge to those risk factor, shall be calculated as follows:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to an inflation rate risk factor;
Removed:= the value of an inflation rate risk factor k with maturity t;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to an inflation rate risk factor;
Removed:= the pricing function of the eligible hedge i;
Removed:= risk factors other than in the pricing function .
Removed:2. 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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to a foreign exchange spot rate risk factor;
Removed:= the value of the foreign exchange spot rate risk factor k;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to a foreign exchange spot rate risk factor;
Removed:= the pricing function of the eligible hedge i;
Removed:= risk factors other than in the pricing function .
Removed:3. 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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to a counterparty credit spread rate risk factor;
Removed:= the value of the counterparty credit spread rate risk factor k at maturity t;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to a counterparty credit spread rate risk factor;
Removed:= the pricing function of the eligible hedge i
Removed:= risk factors other than in the pricing function .
Removed:4. 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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to a reference credit spread rate risk factor;
Removed:= the value of the reference credit spread rate risk factor k at maturity t;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to a reference credit spread rate risk factor;
Removed:= the pricing function of the eligible hedge i
Removed:= risk factors other than in the pricing function .
Removed:5. 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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to an equity spot price risk factor;
Removed:= the value of the equity spot price;
Removed:= the aggregate CVA calculated by the regulatory CVA model;
Removed:= risk factors other than in ;
Removed:= the sensitivities of the eligible hedge i to an equity spot price risk factor;
Removed:= the pricing function of the eligible hedge i;
Removed:= risk factors other than in the pricing function .
Removed:6. 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:
Removed:where:
Removed:= the sensitivities of the aggregate CVA to a commodity spot price risk factor;
Removed:= the value of the commodity spot price;
Removed:= the aggregate CVA calculated by the regulatory CVA model;