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(b)

Text with EEA relevance.
Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (Text with EEA relevance.) · European Union

the sensitivities to risk factors consisting of inflation risk and cross-currency basis shall be calculated as follows: where: | = | the sensitivities to risk factors consisting of inflation risk and cross-currency basis; | = | a vector of m components representing the implied inflation curve or the cross-currency basis curve for a given currency j with m being equal to the number of inflation or cross-currency related variables used in the pricing model of instrument i; | = | the unity matrix of dimension (1 × m); Vi (.) | = | the pricing function of the instrument i; and y, z | = | other variables in the pricing model.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.