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