+Article 325r 2.

Article 325r 2.

Institutions shall calculate the delta credit spread risk sensitivities for all securitisation and non-securitisation positions as follows:

image

where:

image

=

the delta credit spread risk sensitivities for all securitisation and non-securitisation positions;

cskt

=

the value of the credit spread rate of an issuer j at maturity t;

Vi (.)

=

the pricing function of instrument i; and

x,y

=

risk factors other than cskt in the pricing function Vi.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards