art_1__point_90__table__38

Broad categories of risk factors | Broad sub-categories of risk factors | Liquidity horizons | Length of the liquidity horizon (in days) Interest rate | Most liquid currencies and domestic currency | 1 | 10 Other currencies (excluding most liquid currencies) | 2 | 20 Volatility | 4 | 60 Other types | 4 | 60 Credit spread | Central government, including central banks, of Member States | 2 | 20 Covered bonds issued by credit institutions in Member States (Investment Grade) | 2 | 20 Sovereign (Investment grade) | 2 | 20 Sovereign (High yield) | 3 | 40 Corporate (Investment grade) | 3 | 40 Corporate (High yield) | 4 | 60 Volatility | 5 | 120 Other types | 5 | 120 Equity | Equity price (Large market capitalisation) | 1 | 10 Equity price (Small market capitalisation) | 2 | 20 Volatility (Large market capitalisation) | 2 | 20 Volatility (Small market capitalisation) | 4 | 60 Other types | 4 | 60 Foreign exchange | Most liquid currency pairs | 1 | 10 Other currency pairs (excluding most liquid currency pairs) | 2 | 20 Volatility | 3 | 40 Other types | 3 | 40 Commodity | Energy price and carbon emissions price | 2 | 20 Precious metal price and non-ferrous metal price | 2 | 20 Other commodity prices (excluding energy price, carbon emissions price, precious metal price and non-ferrous metal price) | 4 | 60 Energy volatility and carbon emissions volatility | 4 | 60 Precious metal volatility and non-ferrous metal volatility | 4 | 60 Other commodity volatilities (excluding energy volatility, carbon emissions volatility, precious metal volatility and non-ferrous metal volatility) | 5 | 120 Other types | 5 | 120

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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.