Article 364 › 2

Institutions that use an internal model to calculate their own funds requirement for specific risk of debt instruments shall fulfil an additional own funds requirement expressed as the sum of the following points (a) and (b): (a) the own funds requirement calculated in accordance with Article 337 and 338 for the specific risk of securitisation positions and nth to default credit derivatives in the trading book with the exception of those incorporated in an own funds requirement for the specific risk of the correlation trading portfolio in accordance with Section 5 and, where applicable, the own funds requirement for specific risk in accordance with Chapter 2, Section 6, for those positions in CIUs for which neither the conditions in Article 350(1) nor Article 350(2) are fulfilled; (b) the higher of: (i) the most recent risk number for the incremental default and migration risk calculated in accordance with Section 3; (ii) the average of this number over the preceding 12 weeks.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04