7.90	[7.91] to [7.95] set out buckets, risk weights and correlation parameters to calculate vega risk capital requirement as set out in [7.4].
7.91	The same bucket definitions for each risk class are used for vega risk as for delta risk.
7.92	For calculating weighted sensitivities for vega risk, the risk of market illiquidity is incorporated into the determination of vega risk, by assigning different liquidity horizons for each risk class as set out in Table 13. The risk weight for each risk class34 is also set out in Table 13.
Regulatory liquidity horizon, LHrisk class and risk weights per risk class Table 13 Risk class LHrisk class Risk weights GIRR 60 100% CSR non-securitisations 120 100% CSR securitisations (CTP) 120 100% CSR securitisations (non-CTP) 120 100% Equity (large cap and indices) 20 77.78% Equity (small cap and other sector) 60 100% Commodity 120 100% FX 40 100%
7.93	For aggregating vega GIRR risk positions within a bucket, the correlation parameter ρkl is set as follows, where:
	(1)	pkl (option maturity) is equal to ? , where:
		(a)	α is set at 1%;
		(b)	Tk (respectively Tl) is the maturity of the option from which the vega sensitivity VRk (VRl) is derived, expressed as a number of years; and
	(2)	pkl(underlyins maturity) is equal to ? , where:
		(a)	α is set at 1%; and
		(b)	Tku (respectively Tlu) is the maturity of the underlying of the option from which the sensitivity VRk (VRl) is derived, expressed as a number of years after the maturity of the option.
7.95	For aggregating vega risk positions across different buckets within a risk class (GIRR and non- GIRR), the same correlation parameters for γbc, as specified for delta correlations for each risk class in [7.39] to [7.89] are to be used for the aggregation of vega risk (eg γbc = 50% is to be used for the aggregation of vega risk sensitivities across different GIRR buckets).

³⁴ risk weight for a given vega risk factor k (RW_k) is determined by RW_k = min , where RW∂ is set at 55%; and LH_{risk class} is specified per risk class in Table 13.