Article 325d Definitions

For the purposes of this Chapter, the following definitions apply:

‘risk class’ means one of the following seven categories:

general interest rate risk;

credit spread risk (CSR) for non-securitisation;

credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR);

credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR);

equity risk;

commodity risk;

foreign exchange risk;

‘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;

‘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.