Article 325r 3.

sk

=

the sensitivities to risk factors consisting of equity spot prices;

k

=

a specific equity security;

EQk

=

the value of the spot price of that equity security;

Vi (.)

=

the pricing function of instrument i; and

x,y

=

risk factors other than EQk in the pricing function Vi;

=

the sensitivities to risk factors consisting of equity repo rates;

k

=

the index that denotes the equity;

=

a vector of m components representing the repo term structure for a specific equity k with m being equal to the number of repo rates corresponding to different maturities used in the pricing model of instrument i;

=

the unity matrix of dimension (1 · m);

Vi (.)

=

the pricing function of the instrument i; and

y,z

=

risk factors other than
in the pricing function Vi.