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For the purpose of calculating the own funds requirements for CVA risk, the following definitions apply: (1) “risk class” means any of the following categories: (a) interest rate risk; (b) counterparty credit spread risk; (c) reference credit spread risk; (d) equity risk; (e) commodity risk; (f) foreign exchange risk; (2) “CVA portfolio” means the portfolio composed of the aggregate CVA and the eligible hedges referred to in paragraph 1, point (d); (3) “aggregate CVA” means the sum of the CVAs calculated using the regulatory CVA model for the counterparties referred to in paragraph 1, first subparagraph.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04