(89)

in Title IV of Part Three, Chapter 1 is replaced by the following: ‘CHAPTER 1 GENERAL PROVISIONS Article 325 Approaches for calculating the own funds requirements for market risk 1. An institution shall calculate the own funds requirements for market risk of all trading book positions and non-trading book positions that are subject to foreign exchange risk or commodity risk in accordance with the following approaches: 2. The own funds requirements for market risk calculated in accordance with the standardised approach referred to in point (a) of paragraph 1 shall mean the sum of the following own funds requirements, as applicable: 3. An institution that is not exempted from the reporting requirements set out in Article 430b in accordance with Article 325a shall report the calculation in accordance with Article 430b for all trading book positions and non-trading book positions that are subject to foreign exchange risk or commodity risk in accordance with the following approaches: 4. An institution may use in combination the approaches set out in points (a) and (b) of paragraph 1 of this Article on a permanent basis within a group in accordance with Article 363. 5. Institutions shall not use the approach set out in point (b) of paragraph 3 for instruments in their trading book that are securitisation positions or positions included in the alternative correlation trading portfolio (ACTP) as set out in paragraphs 6, 7 and 8. 6. Securitisation positions and nth-to-default credit derivatives that meet all the following criteria shall be included in the ACTP: A two-way market is considered to exist where there are independent bona fide offers to buy and sell, so that a price that is reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at that price within a relatively short time conforming to trade custom. 7. Positions with any of the following underlying instruments shall not be included in the ACTP: 8. Institutions may include in the ACTP positions that are neither securitisation positions nor nth-to-default credit derivatives but that hedge other positions in that portfolio, provided that a liquid two-way market as described in the second subparagraph of paragraph 6 exists for the instrument or its underlying instruments. 9. EBA shall develop draft regulatory technical standards to specify how institutions are to calculate the own funds requirements for market risk for non-trading book positions that are subject to foreign exchange risk or commodity risk in accordance with the approaches set out in points (a) and (b) of paragraph 3. EBA shall submit those draft regulatory technical standards to the Commission by 28 September 2020. Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010. Article 325a Exemptions from specific reporting requirements for market risk 1. An institution shall be exempted from the reporting requirement set out in Article 430b, provided that the size of the institution's on- and off-balance-sheet business that is subject to market risk is equal to or less than each of the following thresholds, on the basis of an assessment carried out on a monthly basis using data as of the last day of the month: 2. Institutions shall calculate the size of their on- and off-balance-sheet business that is subject to market risk using data as of the last day of each month in accordance with the following requirements: 3. Institutions shall notify the competent authorities when they calculate, or cease to calculate, their own funds requirements for market risk in accordance with this Article. 4. An institution that no longer meets one or more of the conditions set out in paragraph 1 shall immediately notify the competent authority thereof. 5. The exemption from the reporting requirements laid down in Article 430b shall cease to apply within three months of either of the following cases: 6. Where an institution has become subject to the reporting requirements laid down in Article 430b in accordance with paragraph 5 of this Article, the institution shall only be exempted from those reporting requirements where it demonstrates to the competent authority that all the conditions set out in paragraph 1 of this Article have been met for an uninterrupted full-year period. 7. Institutions shall not enter into, buy or sell a position only for the purpose of complying with any of the conditions set out in paragraph 1 during the monthly assessment. 8. An institution that is eligible for the treatment set out in Article 94 shall be exempted from the reporting requirement set out in Article 430b. Article 325b Permission for consolidated requirements 1. Subject to paragraph 2, and only for the purpose of calculating net positions and own funds requirements in accordance with this Title on a consolidated basis, institutions may use positions in one institution or undertaking to offset positions in another institution or undertaking. 2. Institutions may apply paragraph 1 only with the permission of the competent authorities which shall be granted if all the following conditions are met: 3. Where there are undertakings located in third countries, all the following conditions shall be met in addition to those set out in paragraph 2: the standardised approach referred to in paragraph 2; the internal model approach set out in Chapter 5 of this Title for those risk categories for which the institution has been granted permission in accordance with Article 363 to use that approach. the own funds requirements for position risk referred to in Chapter 2; the own funds requirements for foreign exchange risk referred to in Chapter 3; the own funds requirements for commodity risk referred to in Chapter 4. the alternative standardised approach set out in Chapter 1a; the alternative internal model approach set out in Chapter 1b. the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche; all their underlying instruments are: single-name instruments, including single-name credit derivatives, for which a liquid two-way market exists; commonly-traded indices based on the instruments referred to in point (i). underlying instruments that are assigned to the exposure classes referred to in point (h) or (i) of Article 112; a claim on a special purpose entity, collateralised, directly or indirectly, by a position that, in accordance with paragraph 6, would itself not be eligible for inclusion in the ACTP. 10 % of the institution's total assets; EUR 500 million. all the positions assigned to the trading book shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3); all non-trading book positions that are subject to foreign exchange risk or commodity risk shall be included; all positions shall be valued at their market values on that date, except for positions referred to in point (b); where the market value of a position is not available on a given date, institutions shall take a fair value for the position on that date; where the fair value and market value of a position are not available on a given date, institutions shall take the most recent market value or fair value for that position; all non-trading book positions that are subject to foreign exchange risk shall be considered as an overall net foreign exchange position and valued in accordance with Article 352; all the non-trading book positions that are subject to commodity risk shall be valued in accordance with Articles 357 and 358; the absolute value of long positions shall be added to the absolute value of short positions. the institution does not meet the condition set out in point (a) or (b) of paragraph 1 for three consecutive months; or the institution does not meet the condition set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months. there is a satisfactory allocation of own funds within the group; the regulatory, legal or contractual framework in which the institutions operate guarantees mutual financial support within the group. such undertakings have been authorised in a third country and either satisfy the definition of a credit institution or are recognised third-country investment firms; on an individual basis, such undertakings comply with own funds requirements equivalent to those laid down in this Regulation; no regulations exist in the third countries in question which might significantly affect the transfer of funds within the group.’;

← (b) · All articles · (a) →

Source: EUR-Lex (Cellar) · retrieved 2026-10-12 · Text as adopted (Official Journal); later amendments are not incorporated in this text.