curvature credit spread risk factors

Defined in Article 325m, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 27/06/2019 – today applies on 12/11/2026 Article 325m, Capital Requirements Regulation (CRR) Scope: Article 325ac

   The curvature credit spread risk factors to be applied by institutions to non-securitisation instruments shall consist of one vector of credit spread rates, representing a credit spread curve specific to the issuer. For each instrument, the vector shall contain as many components as there are different maturities of credit spread rates used as variables in the institution's pricing model for that instrument. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation.

Used in (0 places in 0 provisions on 12/11/2026)

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