Article 325ba
Own funds requirements when using alternative internal models
1.
An institution using an alternative internal model shall calculate the own funds requirements for the portfolio of all positions assigned to the trading desks for which the institution has been granted permission as referred to in Article 325az(2) as the higher of the following:
(a)
the sum of the following values:
(i)
the institution's previous day's expected shortfall risk measure, calculated in accordance with Article 325bb (ESt-1), and
(ii)
the institution's previous day's stress scenario risk measure, calculated in accordance with Section 5 (SSt-1); or
(b)
the sum of the following values:
(i)
the average of the institution's daily expected shortfall risk measure, calculated in accordance with Article 325bb for each of the preceding sixty business days (ESavg), multiplied by the multiplication factor (mc); and
(ii)
the average of the institution's daily stress scenario risk measure, calculated in accordance with Section 5 for each of the preceding sixty business days (SSavg).
Where calculating the own funds requirements for market risk using an internal model in accordance with the first subparagraph, an institution shall not include its own credit spreads in the calculation of the measures referred to in points (a) and (b) for positions in the institution’s own debt instruments.
2.
Institutions holding positions in traded debt and equity instruments that are included in the scope of the internal default risk model and assigned to the trading desks referred to in paragraph 1 shall fulfil an additional own funds requirement, expressed as the higher of the following values:
(a)
the most recent own funds requirement for default risk, calculated in accordance with Section 3;
(b)
the average of the amount referred to in point (a) over the preceding 12 weeks.
By way of derogation from the first subparagraph, an institution shall not be subject to the additional own funds requirement for the holdings of its own debt instruments.
3.
An institution using an alternative internal model shall calculate the total own funds requirements for market risk for all trading book positions and all non-trading book positions generating foreign exchange risk or commodity risk in accordance with the following formula:
where:
|
AIMA |
= the sum of the own funds requirements referred to in paragraphs 1 and 2; |
|
PLAaddon |
= the additional own funds requirement referred to in Article 325bg(2); |
|
ASAnon–aima |
= the own funds requirements for market risk as calculated under the alternative standardised approach referred to in Article 325(1), point (a), for the portfolio of trading book positions and non-trading book positions generating foreign exchange risk or commodity risk for which the institution uses the alternative standardised approach to calculate the own funds requirements for market risk; |
|
ASAall portofolio |
= the own funds requirements for market risk as calculated under the alternative standardised approach referred to in Article 325(1), point (a), for the portfolio of all trading book positions and all non-trading book positions generating foreign exchange risk or commodity risk; |
|
ASAaima |
= the own funds requirements for market risk as calculated under the alternative standardised approach referred to in Article 325(1), point (a), for the portfolio of trading book positions and non-trading book positions generating foreign exchange risk or commodity risk for which the institution uses the approach referred to in Article 325(1), point (b), to calculate the own funds requirements for market risk. |