Article 325d

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Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 2 > Article 325d
Title:
Article 325d
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Definitions
Main content: 

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.