r_{kt}

Defined in Article 325r, Capital Requirements Regulation (CRR)

Definitions over time (1)

1. 25/12/2019 – today applies on 12/11/2026 Article 325r, Capital Requirements Regulation (CRR) Scope: Whole act

   $$S_{r_{kt}} = \frac{V_i(r_{kt} + 0.0001, x, y \dots) - V_i(r_{kt}, x, y \dots)}{0.0001}$$ the sensitivities to risk factors consisting of risk-free rates shall be calculated as follows: where: [IMAGE] = the sensitivities to risk factors consisting of risk-free rates; r_{kt} = the rate of a risk-free curve k with maturity t; V_{i} (.) = the pricing function of instrument i; and x,y = risk factors other than r_{kt} in the pricing function V_{i};

Used in (14 places in 2 provisions on 12/11/2026)

Capital Requirements Regulation (CRR) (14 in 2)

Article 325r⁵ · Article 383i⁹