X1PART THREECAPITAL REQUIREMENTS

Annotations:
Editorial Information

TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK

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:

a

the standardised approach referred to in paragraph 2;

b

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.

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:

a

the own funds requirements for position risk referred to in Chapter 2;

b

the own funds requirements for foreign exchange risk referred to in Chapter 3;

c

the own funds requirements for commodity risk referred to in Chapter 4.

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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.

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