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Version from: 01/01/2023
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Article 325k - Underwriting positions

Article 325k

Underwriting positions

Institutions may use the process set out in this Article for calculating the own funds requirements for market risk of underwriting positions of debt or equity instruments.

Institutions shall apply one of the appropriate multiplying factors listed in Table 1 to the net sensitivities of all the underwriting positions in each individual issuer, excluding the underwriting positions which are subscribed or sub-underwritten by third parties on the basis of formal agreements, and calculate the own funds requirements for market risk in accordance with the approach set out in this Chapter on the basis of the adjusted net sensitivities.

Table 1

Business day 0

0 %

Business day 1

10 %

Business days 2 and 3

25 %

Business day 4

50 %

Business day 5

75 %

After business day 5

100 %

For the purposes of this Article, ‘business day 0’ means the business day on which the institution becomes unconditionally committed to accepting a known quantity of securities at an agreed price.

Institutions shall notify the competent authorities of the application of the process set out in this Article.