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

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