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:
where:
|
|
= |
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:
where:
|
|
= |
the sensitivities to risk factors consisting of inflation risk and cross-currency basis; |
|
|
= |
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; |
|
|
= |
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:
where:
|
|
= |
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:
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:
where:
|
|
= |
the sensitivities to risk factors consisting of equity repo rates; |
|
k |
= |
the index that denotes the equity; |
|
|
= |
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; |
|
|
= |
the unity matrix of dimension (1 · m); |
|
Vi (.) |
= |
the pricing function of the instrument i; and |
|
y,z |
= |
risk factors other than |
4.
Institutions shall calculate the delta commodity risk sensitivities to each risk factor k as follows:
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:
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. |