FantasticSearch

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 in the pricing function Vi.

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.