(a)

the delta sensitivities of the aggregate CVA to risk factors consisting of risk-free rates, as well as of an eligible hedge to those risk factors, shall be calculated as follows: where: | = the sensitivities of the aggregate CVA to a risk-free rate risk factor; rkt | = the value of the risk-free rate risk factor k with maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than rkt in VCVA ; | = the sensitivities of the eligible hedge i to a risk-free rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than rkt in the pricing function Vi ;

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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.