Approaches for calculating the own funds requirements for market risk
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:
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 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:
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.
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:
the alternative standardised approach set out in Chapter 1a;
the alternative internal model approach set out in Chapter 1b.
Securitisation positions and nth-to-default credit derivatives that meet all the following criteria shall be included in the ACTP:
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).
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.
Positions with any of the following underlying instruments shall not be included in the ACTP:
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.
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.