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art_1__point_90__table__30

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

| LHrisk class is the regulatory liquidity horizon to be prescribed in the determination of each vega risk factor k. LHrisk class is determined in accordance with the following table: Table 11 Risk class LHrisk class GIRR 60 CSR non-securitisations 120 CSR securitisations (ACTP) 120 CSR securitisations (non-ACTP) 120 Equity (large cap) 20 Equity (small cap) 60 Commodity 120 Foreign exchange 40

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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.