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Version date: 27 June 2019 - onwards
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Article 325d Definitions

For the purposes of this Chapter, the following definitions apply:

(1) "risk class" means one of the following seven categories: (i) general interest rate risk; (ii) credit spread risk (CSR) for non-securitisation; (iii) credit spread risk for securitisation not included in the alternative correlation trading portfolio (non- ACTP CSR); (iv) credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR); (v) equity risk; (vi) commodity risk; (vii) foreign exchange risk;

(2) "sensitivity" means the relative change in the value of a position, as a result of a change in the value of one of the relevant risk factors of the position, calculated with the institution's pricing model in accordance with Subsection 2 of Section 3;

(3) "bucket" means a sub-category of positions within one risk class with a similar risk profile to which a risk weight as defined in Subsection 1 of Section 3 is assigned.