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art_1__point_201__table__6

CRR3
REGULATION (EU) 2024/1623 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 31 May 2024 amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (Text with EEA relevance) · European Union

| = the sensitivities of the aggregate CVA to a counterparty credit spread rate risk factor; ccskt | = the value of the counterparty credit spread rate risk factor k at maturity t; VCVA | = the aggregate CVA calculated by the regulatory CVA model; x,y | = risk factors other than ccskt in VCVA ; | = the sensitivities of the eligible hedge i to a counterparty credit spread rate risk factor; Vi | = the pricing function of the eligible hedge i; w,z | = risk factors other than ccskt 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.