vega credit spread risk factors

Definitions over time (1)

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

The vega credit spread risk factors to be applied by institutions to options with non-securitisation underlyings that are sensitive to credit spread shall be the implied volatilities of the underlying's issuer credit spread rates inferred as laid down in paragraph 1, which shall be mapped to the following maturities in accordance with the maturity of the option subject to own funds requirements: 0,5 years, 1 year, 3 years, 5 years, 10 years. The same buckets shall be used as the buckets that were used for the delta credit spread risk for non-securitisation.

No text uses this concept on 11/11/2026.