Article 10
Calculation of the additional own funds requirement referred to in Article 325bg(2) of Regulation (EU) No 575/2013
1.
The additional own funds requirement referred to in Article 325bg(2) shall be equal to:
Where:
|
PLA addon |
= |
PLA addon as defined in Article 325ba(3) of Regulation (EU) No 575/2013; |
|
k |
= |
as specified in paragraph 2; |
|
ASA aima |
= |
ASA aima as defined in Article 325ba(3) of Regulation (EU) No 575/2013; |
|
AIMA |
= |
AIMA as defined in Article 325ba(3) of Regulation (EU) No 575/2013. |
2.
For the purposes of paragraph 1, the coefficient k shall be calculated in accordance with the following formula:
Where:
|
ASA i |
= |
the own funds requirements for market risks as calculated in accordance with the alternative standardised approach set out in Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for all the positions attributed to trading desk ‘i’; |
|
|
= |
the indices of all trading desks that have been classified as yellow zone desks in accordance with Article 9 of this Regulation among those for which the own funds requirements for market risks are calculated in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013; |
|
|
= |
the indices of all trading desks for which the own funds requirements for market risks are calculated in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013. |
