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Title IV Own funds requirements for market risk (arts. 325-377)

Chapter 1 General Provisions (arts. 325-325b)
Amended
Article 325 Approaches for calculating the own funds requirements for market risk
Inserted
Article 325a Exemptions from specific reporting requirements for market risk
Inserted
Article 325b Permission for consolidated requirements
Chapter 1a Alternative standardised approach (arts. 325c-325ay)
Section 1 General provisions (art. 325c)
Inserted
Article 325c Scope and structure of the alternative standardised approach
Section 2 Sensitivities-based method for calculating the own funds requirement (art. 325d-325k)
Inserted
Article 325d Definitions
Inserted
Article 325e Components of the sensitivities-based method
Inserted
Article 325f Own funds requirements for delta and vega risks
Inserted
Article 325g Own funds requirements for curvature risk
Inserted
Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Inserted
Article 325i Treatment of index instruments and multi-underlying options
Inserted
Article 325j Treatment of collective investment undertakings
Inserted
Article 325k Underwriting positions
Section 3 Risk factor and sensitivity definitions (arts. 325l-325t)
Subsection 1 Risk factor definitions (arts. 325l-325q)
Inserted
Article 325l General interest rate risk factors
Inserted
Article 325m Credit spread risk factors for non-securitisation
Inserted
Article 325n Credit spread risk factors for securitisation
Inserted
Article 325o Equity risk factors
Inserted
Article 325p Commodity risk factors
Inserted
Article 325q Foreign exchange risk factors
Subsection 2 Sensitivity definitions (arts. 325r-325t)
Inserted
Article 325r Delta risk sensitivities
Inserted
Article 325s Vega risk sensitivities
Inserted
Article 325t Requirements on sensitivity computations
Section 4 The residual risk add-on (art. 325u)
Inserted
Article 325u Own funds requirements for residual risks
Section 5 Own funds requirements for the default risk (arts. 325v-325ad)
Inserted
Article 325v Definitions and general provisions
Subsection 1 Own funds requirements for the default risk for non-securitisations (arts. 325w-325y)
Inserted
Article 325w Gross jump-to-default amounts
Inserted
Article 325x Net jump-to-default amounts
Inserted
Article 325y Calculation of the own funds requirements for the default risk
Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP (arts. 325z-325aa)
Inserted
Article 325z Jump-to-default amounts
Inserted
Article 325aa Calculation of the own funds requirement for the default risk for securitisations
Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP (arts. 325ab-325ad)
Inserted
Article 325ab Scope
Inserted
Article 325ac Jump-to-default amounts for the ACTP
Inserted
Article 325ad Calculation of the own funds requirements for the default risk for the ACTP
Section 6 Risk weights and correlations (arts. 325ae-325ay)
Subsection 1 Delta risk weights and correlations (arts. 325ae-325aw)
Inserted
Article 325ae Risk weights for general interest rate risk
Inserted
Article 325af Intra bucket correlations for general interest rate risk
Inserted
Article 325ag Correlations across buckets for general interest rate risk
Inserted
Article 325ah Risk weights for credit spread risk for non-securitisations
Inserted
Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
Inserted
Article 325aj Correlations across buckets for credit spread risk for non-securitisations
Inserted
Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP
Inserted
Article 325al Correlations for credit spread risk for securitisations included in the ACTP
Inserted
Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
Inserted
Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
Inserted
Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
Inserted
Article 325ap Risk weights for equity risk
Inserted
Article 325aq Intra-bucket correlations for equity risk
Inserted
Article 325ar Correlations across buckets for equity risk
Inserted
Article 325as Risk weights for commodity risk
Inserted
Article 325at Intra-bucket correlations for commodity risk
Inserted
Article 325au Correlations across buckets for commodity risk
Inserted
Article 325av Risk weights for foreign exchange risk
Inserted
Article 325aw Correlations for foreign exchange risk
Subsection 2 Vega and curvature risk weights and correlations (arts. 325ax-325ay)
Inserted
Article 325ax Vega and curvature risk weights
Inserted
Article 325ay Vega and curvature risk correlations
Chapter 1b Alternative internal model approach (arts. 325az-325bp)
Section 1 Permission and own funds requirements (arts. 325az-325ba)
Inserted
Article 325az Alternative internal model approach and permission to use alternative internal models
Inserted
Article 325ba Own funds requirements when using alternative internal models
Section 2 General requirements (arts. 325bb-325bk)
Inserted
Article 325bb Expected shortfall risk measure
Inserted
Article 325bc Partial expected shortfall calculations
Inserted
Article 325bd Liquidity horizons
Inserted
Article 325be Assessment of the modellability of risk factors
Inserted
Article 325bf Regulatory back-testing requirements and multiplication factors
Inserted
Article 325bg Profit and loss attribution requirement
Inserted
Article 325bh Requirements on risk measurement
Inserted
Article 325bi Qualitative requirements
Inserted
Article 325bj Internal validation
Inserted
Article 325bk Calculation of stress scenario risk measure
Section 3 Internal default risk model (arts. 325bl-325bp)
Inserted
Article 325bl Scope of the internal default risk model
Inserted
Article 325bm Permission to use an internal default risk model
Inserted
Article 325bn Own funds requirements for default risk using an internal default risk model
Inserted
Article 325bo Recognition of hedges in an internal default risk model
Inserted
Article 325bp Particular requirements for an internal default risk model
Chapter 2 Own funds requirements for position risk (arts. 326-350)
Section 1 General provisions and specific instruments (arts. 326-333)
Applicable
Article 326 Own funds requirements for position risk
Applicable
Article 327 Netting
Applicable
Article 328 Interest rate futures and forwards
Applicable
Article 329 Options and warrants
Applicable
Article 330 Swaps
Applicable
Article 331 Interest rate risk on derivative instruments
Applicable
Article 332 Credit Derivatives
Applicable
Article 333 Securities sold under a repurchase agreement or lent
Section 2 Debt instruments (arts. 334-340)
Applicable
Article 334 Net positions in debt instruments
Sub-section 1 Specific risk (arts. 335-338)
Applicable
Article 335 Cap on the own funds requirement for a net position
Applicable
Article 336 Own funds requirement for non-securitisation debt instruments
Amended
Article 337 Own funds requirement for securitisation instruments
Applicable
Article 338 Own funds requirement for the correlation trading portfolio
Sub-section 2 General risk (arts. 339-340)
Applicable
Article 339 Maturity-based calculation of general risk
Applicable
Article 340 Duration-based calculation of general risk
Section 3 Equities (arts. 341-344)
Applicable
Article 341 Net positions in equity instruments
Applicable
Article 342 Specific risk of equity instruments
Applicable
Article 343 General risk of equity instruments
Applicable
Article 344 Stock indices
Section 4 Underwriting (art. 345)
Applicable
Article 345 Reduction of net positions
Section 5 Specific risk own funds requirements for positions hedged by credit derivatives (arts. 346-347)
Applicable
Article 346 Allowance for hedges by credit derivatives
Applicable
Article 347 Allowance for hedges by first and nth-to default credit derivatives
Section 6 Own funds requirements for CIUs (arts. 348-350)
Applicable
Article 348 Own funds requirements for CIUs
Applicable
Article 349 General criteria for CIUs
Applicable
Article 350 Specific methods for CIUs
Chapter 3 Own funds requirements for foreign-exchange risk (arts. 351-354)
Applicable
Article 351 De minimis and weighting for foreign exchange risk
Applicable
Article 352 Calculation of the overall net foreign exchange position
Applicable
Article 353 Foreign exchange risk of CIUs
Applicable
Article 354 Closely correlated currencies
Chapter 4 Own funds requirements for commodities risk (arts. 355-361)
Applicable
Article 355 Choice of method for commodities risk
Applicable
Article 356 Ancillary commodities business
Applicable
Article 357 Positions in commodities
Applicable
Article 358 Particular instruments
Applicable
Article 359 Maturity ladder approach
Applicable
Article 360 Simplified approach
Applicable
Article 361 Extended maturity ladder approach
Chapter 5 Use of internal models to calculate own funds requirements (arts. 362-377)
Section 1 Permission and own funds requirements (arts. 362-364)
Applicable
Article 362 Specific and general risks
Applicable
Article 363 Permission to use internal models
Applicable
Article 364 Own funds requirements when using internal models
Section 2 General requirements (arts. 365-369)
Applicable
Article 365 VaR and stressed VaR Calculation
Applicable
Article 366 Regulatory back testing and multiplication factors
Applicable
Article 367 Requirements on risk measurement
Applicable
Article 368 Qualitative requirements
Applicable
Article 369 Internal Validation
Section 3 Requirements particular to specific risk modelling (arts. 370-371)
Applicable
Article 370 Requirements for modelling specific risk
Applicable
Article 371 Exclusions from specific risk models
Section 4 Internal model for incremental default and migration risk (arts. 372-376)
Applicable
Article 372 Requirement to have an internal IRC model
Applicable
Article 373 Scope of the internal IRC model
Applicable
Article 374 Parameters of the internal IRC model
Applicable
Article 375 Recognition of hedges in the internal IRC model
Applicable
Article 376 Particular requirements for the internal IRC model
Section 5 Internal model for correlation trading (art. 377)
Applicable
Article 377 Requirements for an internal model for correlation trading