Version in force , Inserted +964 −0§
Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)
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A new Article 325d has been added, setting out definitions for the purposes of this Chapter, including risk class, sensitivity, and bucket.
The risk class definition lists seven categories covering general interest rate risk, credit spread risk for non-securitisation, credit spread risk for securitisation outside and inside the alternative correlation trading portfolio, equity risk, commodity risk, and foreign exchange risk.
Cited: Art. 325d, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20190627
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.