Chapter 1a Alternative standardised approach (arts. 325c-325ay)

Section 1 General provisions (art. 325c)
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Article 325c Scope and structure of the alternative standardised approach
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 multi-underlying options
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Article 325j Treatment of collective investment undertakings
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Article 325k Underwriting positions
Section 3 Risk factor and sensitivity definitions (arts. 325l-325t)
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
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
Section 4 The residual risk add-on (art. 325u)
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Article 325u Own funds requirements for residual risks
Section 5 Own funds requirements for the default risk (arts. 325v-325ad)
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Article 325v Definitions and general provisions
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
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
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
Section 6 Risk weights and correlations (arts. 325ae-325ay)
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
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