CRR — Regulation (EU) No 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation) · version 2026-06-26 · CELEX 32013R0575 · consolidated text, no legal effect (EUR-Lex)

CRR › Article 383f

Article 383f Reference credit spread risk factors

official text, verbatim

The reference credit spread delta risk factors applicable to reference credit spread sensitive instruments in the CVA portfolio shall be the credit spreads of all maturities for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.

The reference credit spread vega risk factors applicable to instruments in the CVA portfolio sensitive to reference credit spread volatility shall be the volatilities of the credit spreads of all tenors for all reference names within a bucket. There shall be one net sensitivity computed for each bucket.

ARTICLE

CRR art 383f Reference credit spread risk factors

reg/2013/575/art_383f

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Text: official, verbatim. Uses and counts are derived from Annex I references and the DPM 2.0 database of the release shown above. Version 2026-06-26. Source: 02013R0575 — EN — 26.06.2026 — 021.001.