(177)

Article 325ax is amended as follows: paragraphs 1 and 2 are replaced by the following: ‘1. Buckets for vega risk factors shall be similar to the buckets established for delta risk factors in accordance with Section 3, Subsection 1. 2. Risk weights for sensitivities to vega risk factors shall be assigned in accordance with the risk class of the risk factors, as follows: Table 1 ’; Risk class | Risk weights GIRR | 100 % CSR non-securitisations | 100 % CSR securitisations (ACTP) | 100 % CSR securitisations (non-ACTP) | 100 % Equity (large cap and indices) | 77,78 % Equity (small cap and other sector) | 100 % Commodity | 100 % Foreign exchange | 100 % paragraph 3 is deleted; paragraph 6 is replaced by the following: ‘6. For general interest rate, credit spread and commodity curvature risk factors, the curvature risk weight shall be the parallel shift of all vertices for each curve on the basis of the highest prescribed delta risk weight referred to in Subsection 1 for the relevant risk bucket.’ ;

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.