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

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	Chapter 1 General Provisions (arts. 325-325b)
Amended	Article 325 Approaches for calculating the own funds requirements for market risk
Amended	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
Amended	Article 325e Components of the sensitivities-based method
Amended	Article 325f Own funds requirements for delta and vega risks
Amended	Article 325g Own funds requirements for curvature risk
Amended	Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
Amended	Article 325i Treatment of index instruments and other multi-underlying instruments
Amended	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
Amended	Article 325q Foreign exchange risk factors
	Subsection 2 Sensitivity definitions (arts. 325r-325t)
Amended	Article 325r Delta risk sensitivities
Amended	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)
Amended	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
Amended	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)
Amended	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
Amended	Article 325ah Risk weights for credit spread risk for non-securitisations
Inserted	Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
Amended	Article 325aj Correlations across buckets for credit spread risk for non-securitisations
Amended	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
Amended	Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
Amended	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
Amended	Article 325ap Risk weights for equity risk
Amended	Article 325aq Intra-bucket correlations for equity risk
Amended	Article 325ar Correlations across buckets for equity risk
Amended	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
Amended	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)
Amended	Article 325ax Vega and curvature risk weights
Amended	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)
Amended	Article 325bb Expected shortfall risk measure
Amended	Article 325bc Partial expected shortfall calculations
Amended	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

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

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