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[X1PART THREE U.K. CAPITAL REQUIREMENTS

TITLE IV U.K. OWN FUNDS REQUIREMENTS FOR MARKET RISK

[F1CHAPTER 1a U.K. Alternative standardised approach

Section 2 U.K. Sensitivities-based method for calculating the own funds requirement

Article 325d U.K. 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.] ]

Textual Amendments

Editorial Information