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Article 325r - Delta risk sensitivities

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: