Article 325
Approaches for calculating the own funds requirements for market risk
1.
An institution shall calculate the own funds requirements for market risk for all its trading book positions and all its non-trading book positions that are subject to foreign exchange risk or commodity risk in accordance with the following approaches:
(a)
the alternative standardised approach set out in Chapter 1a;
(b)
the alternative internal model approach set out in Chapter 1b for those positions assigned to trading desks for which the institution has been granted permission by its competent authority to use that alternative approach as set out in Article 325az(1);
(c)
the simplified standardised approach referred to in paragraph 2 of this Article, provided that the institution meets the conditions set out in Article 325a(1).
By way of derogation from the first subparagraph, an institution shall not calculate own funds requirements for foreign exchange risk for trading book positions and non-trading book positions that are subject to foreign exchange risk where those positions are deducted from the institution’s own funds. The institution shall document its use of the derogation set out in this subparagraph, including its impact and materiality, and make the information available, upon request, to its competent authority.
2.
The own funds requirements for market risk calculated in accordance with the simplified standardised approach shall be the sum of the following own funds requirements, as applicable:
(a)
the own funds requirements for position risk referred to in Chapter 2, multiplied by:
(i)
1,3 , for the general and specific risks of positions in debt instruments, excluding securitisation instruments as referred to in Article 337;
(ii)
3,5 , for the general and specific risks of positions in equity instruments;
(b)
the own funds requirements for foreign exchange risk referred to in Chapter 3, multiplied by 1,2 ;
(c)
the own funds requirements for commodity risk referred to in Chapter 4, multiplied by 1,9 ;
(d)
the own funds requirements for securitisation instruments as referred to in Article 337.
3.
An institution using the alternative internal model approach referred to in paragraph 1, point (b), of this Article to calculate the own funds requirements for market risk of trading book positions and non-trading book positions that are subject to foreign exchange risk or commodity risk shall report to its competent authority the monthly calculation of the own funds requirements for market risk using the alternative standardised approach referred to in paragraph 1, point (a), of this Article for each trading desk to which those positions have been assigned in accordance with Article 104b.
4.
An institution may use a combination of the alternative standardised approach referred to in paragraph 1, point (a), of this Article and the alternative internal model approach referred to in paragraph 1, point (b), of this Article on a permanent basis, provided that the total own funds requirements for market risk calculated using the alternative internal model approach represent at least 10 % of the total own funds requirements for market risk. On an individual basis, an institution shall not use either of those approaches in combination with the simplified standardised approach referred to in paragraph 1, point (c), of this Article. At consolidated level, an institution may use a combination of those three approaches to calculate the own funds requirements for market risk in accordance with Article 325b(4), point (b), as long as the simplified standardised approach is not used in combination with the other two approaches within a single legal entity.
5.
An institution shall not use the alternative internal model approach referred to in paragraph 1, point (b), for instruments in its trading book that are securitisation positions or positions included in the alternative correlation trading portfolio (ACTP) set out in paragraphs 6, 7 and 8.
6.
Securitisation positions and nth-to-default credit derivatives that meet all the following criteria shall be included in the ACTP:
(a)
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;
(b)
all their underlying instruments are:
(i)
single-name instruments, including single-name credit derivatives, for which a liquid two-way market exists;
(ii)
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.
7.
Positions with any of the following underlying instruments shall not be included in the ACTP:
(a)
underlying instruments that are assigned to the exposure classes referred to in point (h) or (i) of Article 112;
(b)
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.
8.
Institutions may include in the ACTP positions that are neither securitisation positions nor nth-to-default credit derivatives but that hedge other positions in that portfolio, provided that a liquid two-way market as described in the second subparagraph of paragraph 6 exists for the instrument or its underlying instruments.
9.
EBA shall develop draft regulatory technical standards to specify how institutions are to calculate the own funds requirements for market risk for non-trading book positions that are subject to foreign exchange risk or commodity risk in accordance with the approaches set out in paragraph 1, points (a) and (b), of this Article, taking into account the requirements set out in Article 104b(5) and (6), where applicable.
EBA shall submit those draft regulatory technical standards to the Commission by 10 July 2025.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.