+CHAPTER 1a Alternative standardised approach
---+Section 1 General provisions
------+Article 325c Scope, structure and qualitative requirements of the alternative standardised approach
---------+Article 325c 1.
---------+Article 325c 2.
---------+Article 325c 3.
---------+Article 325c 4.
---------+Article 325c 5.
---------+Article 325c 6.
---------+Article 325c 7.
---------+Article 325c 8.
---+Section 2 Sensitivities-based method for calculating the own funds requirement
------+Article 325d Definitions
------+Article 325e Components of the sensitivities-based method
---------+Article 325e 1.
---------+Article 325e 2.
---------+Article 325e 3.
------+Article 325f Own funds requirements for delta and vega risks
---------+Article 325f 1.
---------+Article 325f 2.
---------+Article 325f 3.
---------+Article 325f 4.
---------+Article 325f 5.
---------+Article 325f 6.
---------+Article 325f 7.
---------+Article 325f 8.
------+Article 325g Own funds requirements for curvature risk
---------+Article 325g 1.
---------+Article 325g 2.
---------+Article 325g 3.
---------+Article 325g 4.
---------+Article 325g 5.
---------+Article 325g 6.
---------+Article 325g 7.
------+Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
---------+Article 325h 1.
---------+Article 325h 2.
---------+Article 325h 3.
---------+Article 325h 4.
------+Article 325i Treatment of index instruments and other multi-underlying instruments
---------+Article 325i 1.
---------+Article 325i 2.
---------+Article 325i 3.
---------+Article 325i 4.
---------+Article 325i 5.
---------+Article 325i 6.
------+Article 325j Treatment of collective investment undertakings
---------+Article 325j 1.
---------+Article 325j 1a.
---------+Article 325j 2.
---------+Article 325j 3.
---------+Article 325j 4.
---------+Article 325j 5.
---------+Article 325j 6.
---------+Article 325j 7.
------+Article 325k Underwriting positions
---------+Article 325k 1.
---------+Article 325k 2.
---------+Article 325k 3.
---+Section 3 Risk factor and sensitivity definitions
------+Subsection 1 Risk factor definitions
---------+Article 325l General interest rate risk factors
------------+Article 325l 1.
------------+Article 325l 2.
------------+Article 325l 3.
------------+Article 325l 4.
------------+Article 325l 5.
------------+Article 325l 6.
------------+Article 325l 7.
------------+Article 325l 8.
------------+Article 325l 9.
---------+Article 325m Credit spread risk factors for non-securitisation
------------+Article 325m 1.
------------+Article 325m 2.
------------+Article 325m 3.
------------+Article 325m 4.
---------+Article 325n Credit spread risk factors for securitisation
------------+Article 325n 1.
------------+Article 325n 2.
------------+Article 325n 3.
------------+Article 325n 4.
------------+Article 325n 5.
---------+Article 325o Equity risk factors
------------+Article 325o 1.
------------+Article 325o 2.
------------+Article 325o 3.
------------+Article 325o 4.
---------+Article 325p Commodity risk factors
------------+Article 325p 1.
------------+Article 325p 2.
------------+Article 325p 3.
------------+Article 325p 4.
---------+Article 325q Foreign exchange risk factors
------------+Article 325q 1.
------------+Article 325q 2.
------------+Article 325q 3.
------------+Article 325q 4.
------------+Article 325q 5.
------------+Article 325q 6.
------------+Article 325q 7.
------+Subsection 2 Sensitivity definitions
---------+Article 325r Delta risk sensitivities
------------+Article 325r 1.
------------+Article 325r 2.
------------+Article 325r 3.
------------+Article 325r 4.
------------+Article 325r 5.
---------+Article 325s Vega risk sensitivities
------------+Article 325s 1.
------------+Article 325s 2.
------------+Article 325s 3.
------------+Article 325s 4.
---------+Article 325t Requirements on sensitivity computations
------------+Article 325t 1.
------------+Article 325t 2.
------------+Article 325t 3.
------------+Article 325t 4.
------------+Article 325t 5.
------------+Article 325t 6.
---+Section 4 The residual risk add-on
------+Article 325u Own funds requirements for residual risks
---------+Article 325u 1.
---------+Article 325u 2.
---------+Article 325u 3.
---------+Article 325u 4.
---------+Article 325u 4a.
---------+Article 325u 5.
---------+Article 325u 6.
---------+Article 325u 7.
---+Section 5 Own funds requirements for the default risk
------+Article 325v Definitions and general provisions
---------+Article 325v 1.
---------+Article 325v 2.
---------+Article 325v 3.
------+Subsection 1 Own funds requirements for the default risk for non-securitisations
---------+Article 325w Gross jump-to-default amounts
------------+Article 325w 1.
------------+Article 325w 2.
------------+Article 325w 3.
------------+Article 325w 4.
------------+Article 325w 5.
------------+Article 325w 6.
------------+Article 325w 7.
------------+Article 325w 8.
---------+Article 325x Net jump-to-default amounts
------------+Article 325x 1.
------------+Article 325x 2.
------------+Article 325x 3.
------------+Article 325x 4.
------------+Article 325x 5.
---------+Article 325y Calculation of the own funds requirements for the default risk
------------+Article 325y 1.
------------+Article 325y 2.
------------+Article 325y 3.
------------+Article 325y 4.
------------+Article 325y 5.
------------+Article 325y 6.
------+Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP
---------+Article 325z Jump-to-default amounts
------------+Article 325z 1.
------------+Article 325z 2.
------------+Article 325z 3.
------------+Article 325z 4.
------------+Article 325z 5.
---------+Article 325aa Calculation of the own funds requirement for the default risk for securitisations
------------+Article 325aa 1.
------------+Article 325aa 2.
------------+Article 325aa 3.
------------+Article 325aa 4.
------------+Article 325aa 5.
------------+Article 325aa 6.
------------+Article 325aa 7.
------+Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP
---------+Article 325ab Scope
---------+Article 325ac Jump-to-default amounts for the ACTP
------------+Article 325ac 1.
------------+Article 325ac 2.
------------+Article 325ac 3.
------------+Article 325ac 4.
---------+Article 325ad Calculation of the own funds requirements for the default risk for the ACTP
------------+Article 325ad 1.
------------+Article 325ad 2.
------------+Article 325ad 3.
------------+Article 325ad 4.
---+Section 6 Risk weights and correlations
------+Subsection 1 Delta risk weights and correlations
---------+Article 325ae Risk weights for general interest rate risk
------------+Article 325ae 1.
------------+Article 325ae 2.
------------+Article 325ae 3.
---------+Article 325af Intra bucket correlations for general interest rate risk
------------+Article 325af 1.
------------+Article 325af 2.
------------+Article 325af 3.
------------+Article 325af 4.
------------+Article 325af 5.
---------+Article 325ag Correlations across buckets for general interest rate risk
------------+Article 325ag 1.
------------+Article 325ag 2.
---------+Article 325ah Risk weights for credit spread risk for non-securitisations
------------+Article 325ah 1.
------------+Article 325ah 2.
------------+Article 325ah 3.
---------+Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
------------+Article 325ai 1.
------------+Article 325ai 2.
---------+Article 325aj Correlations across buckets for credit spread risk for non-securitisations
---------+Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP
---------+Article 325al Correlations for credit spread risk for securitisations included in the ACTP
------------+Article 325al 1.
------------+Article 325al 2.
---------+Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
------------+Article 325am 1.
------------+Article 325am 2.
------------+Article 325am 3.
---------+Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
------------+Article 325an 1.
------------+Article 325an 2.
---------+Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
------------+Article 325ao 1.
------------+Article 325ao 2.
---------+Article 325ap Risk weights for equity risk
------------+Article 325ap 1.
------------+Article 325ap 2.
------------+Article 325ap 3.
------------+Article 325ap 4.
---------+Article 325aq Intra-bucket correlations for equity risk
------------+Article 325aq 1.
------------+Article 325aq 2.
------------+Article 325aq 3.
------------+Article 325aq 4.
------------+Article 325aq 5.
---------+Article 325ar Correlations across buckets for equity risk
---------+Article 325as Risk weights for commodity risk
---------+Article 325at Intra-bucket correlations for commodity risk
------------+Article 325at 1.
------------+Article 325at 2.
------------+Article 325at 3.
------------+Article 325at 4.
---------+Article 325au Correlations across buckets for commodity risk
---------+Article 325av Risk weights for foreign exchange risk
------------+Article 325av 1.
------------+Article 325av 2.
------------+Article 325av 3.
------------+Article 325av 4.
------------+Article 325av 5.
---------+Article 325aw Correlations for foreign exchange risk
------+Subsection 2 Vega and curvature risk weights and correlations
---------+Article 325ax Vega and curvature risk weights
------------+Article 325ax 1.
------------+Article 325ax 2.
------------+Article 325ax 4.
------------+Article 325ax 5.
------------+Article 325ax 6.
---------+Article 325ay Vega and curvature risk correlations
------------+Article 325ay 1.
------------+Article 325ay 2.
------------+Article 325ay 3.
------------+Article 325ay 4.
------------+Article 325ay 5.

CHAPTER 1a Alternative standardised approach

CHAPTER 1a Alternative standardised approach

1. Overview

,
Section 1 General provisions Section 1 General provisions
Section 2 Sensitivities-based method for calculating the own funds requirement Section 2 Sensitivities-based method for calculating the own funds requirement
Section 3 Risk factor and sensitivity definitions Section 3 Risk factor and sensitivity definitions
Section 4 The residual risk add-on Section 4 The residual risk add-on
Section 5 Own funds requirements for the default risk Section 5 Own funds requirements for the default risk
Section 6 Risk weights and correlations Section 6 Risk weights and correlations

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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