+Article 325d Definitions

Article 325d Definitions

Article 325d

Definitions

For the purposes of this Chapter, the following definitions apply:

(1) 

‘risk class’ means one of the following seven categories:

(i) 

general interest rate risk;

(ii) 

credit spread risk (CSR) for non-securitisation;

(iii) 

credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR);

(iv) 

credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR);

(v) 

equity risk;

(vi) 

commodity risk;

(vii) 

foreign exchange risk;

(2) 

‘sensitivity’ means the relative change in the value of a position, as a result of a change in the value of one of the relevant risk factors of the position, calculated with the institution's pricing model in accordance with Subsection 2 of Section 3;

(3) 

‘bucket’ means a sub-category of positions within one risk class with a similar risk profile to which a risk weight as defined in Subsection 1 of Section 3 is assigned.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards