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Capital Requirements Regulation (CRR)
Article 325r

Article 325r - Delta risk sensitivities

Status
In force
Selected consolidated version from
30/09/2021
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Article 325r

Delta risk sensitivities

1.  

Institutions shall calculate delta general interest rate risk (GIRR) sensitivities as follows:

(a) 

the sensitivities to risk factors consisting of risk-free rates shall be calculated as follows:

image

where:

image

=

the sensitivities to risk factors consisting of risk-free rates;

rkt

=

the rate of a risk-free curve k with maturity t;

Vi (.)

=

the pricing function of instrument i; and

x,y

=

risk factors other than rkt in the pricing function Vi;

(b) 

the sensitivities to risk factors consisting of inflation risk and cross-currency basis shall be calculated as follows:

image

where:

image

=

the sensitivities to risk factors consisting of inflation risk and cross-currency basis;

image

=

a vector of m components representing the implied inflation curve or the cross-currency basis curve for a given currency j with m being equal to the number of inflation or cross-currency related variables used in the pricing model of instrument i;

image

=

the unity matrix of dimension (1 × m);

Vi (.)

=

the pricing function of the instrument i; and

y, z

=

other variables in the pricing model.

2.  

Institutions shall calculate the delta credit spread risk sensitivities for all securitisation and non-securitisation positions as follows:

image

where:

image

=

the delta credit spread risk sensitivities for all securitisation and non-securitisation positions;

cskt

=

the value of the credit spread rate of an issuer j at maturity t;

Vi (.)

=

the pricing function of instrument i; and

x,y

=

risk factors other than cskt in the pricing function Vi.

3.  

Institutions shall calculate delta equity risk sensitivities as follows:

(a) 

the sensitivities to risk factors consisting of equity spot prices shall be calculated as follows:

image

where:

sk

=

the sensitivities to risk factors consisting of equity spot prices;

k

=

a specific equity security;

EQk

=

the value of the spot price of that equity security;

Vi (.)

=

the pricing function of instrument i; and

x,y

=

risk factors other than EQk in the pricing function Vi;

(b) 

the sensitivities to risk factors consisting of equity repo rates shall be calculated as follows:

image

where:

image

=

the sensitivities to risk factors consisting of equity repo rates;

k

=

the index that denotes the equity;

image

=

a vector of m components representing the repo term structure for a specific equity k with m being equal to the number of repo rates corresponding to different maturities used in the pricing model of instrument i;

image

=

the unity matrix of dimension (1 · m);

Vi (.)

=

the pricing function of the instrument i; and

y,z

=

risk factors other than
image in the pricing function Vi.

4.  

Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:

image

where:

sk

=

the delta commodity risk sensitivities;

k

=

a given commodity risk factor;

CTYk

=

the value of risk factor k;

Vi (.)

=

the pricing function of instrument i; and

y, z

=

risk factors other than CTYk in the pricing model of instrument i.

5.  

Institutions shall calculate the delta foreign exchange risk sensitivities to each foreign exchange risk factor k as follows:

image

where:

sk

=

the delta foreign exchange risk sensitivities;

k

=

a given foreign exchange risk factor;

FXk

=

the value of the risk factor;

Vi (.)

=

the pricing function of instrument i; and

y, z

=

risk factors other than FXk in the pricing model of instrument i.

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