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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F3 Article 325a Exemptions from specific reporting requirements for market risk

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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:

a

there is a satisfactory allocation of own funds within the group;

b

the regulatory, legal or contractual framework in which the institutions operate guarantees mutual financial support within the group.

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:

a

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;

b

on an individual basis, such undertakings comply with own funds requirements equivalent to those laid down in this Regulation;

c

no regulations exist in the third countries in question which might significantly affect the transfer of funds within the group.