RepMap
FINREP 4.4validation

Releases (DPM and templates)

Annex V text editions

What's new FINREP 4.2.1 → 4.4

A release is the EBA package of templates and rules. A variant is an alternative set of templates inside a release (IFRS 18 replaces some IAS 1 templates). Annex V editions are versions of the instruction text.

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 383j

Article 383j Vega risk sensitivities

official text, verbatim

Institutions shall calculate the vega risk sensitivities of the aggregate CVA to risk factors consisting of implied volatility, as well as of an eligible hedge instrument to those risk factors, as follows:

formula (image in the official text)

formula (image in the official text)

where:

formula (image in the official text)= the sensitivities of the aggregate CVA to an implied volatility risk factor;
volk= the value of the implied volatility risk factor;
VCVA= the aggregate CVA calculated by the regulatory CVA model;
x,y= risk factors other than volk in the pricing function VCVA ;
formula (image in the official text)= the sensitivities of the eligible hedge instrument i to an implied volatility risk factor;
Vi= the pricing function of the eligible hedge i;
w,z= risk factors other than volk in the pricing function Vi .