Article 10
Consequences for trading desks that are classified as yellow, orange or red zone desks
1. Institutions calculating the own funds requirements in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013 for positions assigned to trading desks that have been classified as red, orange or yellow zone desks in accordance with Article 9 of this Regulation shall calculate, in relation to those positions, a capital surcharge in accordance with the following formula:
Where:
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k |
= |
as specified in paragraph 2; |
|
SAima |
= |
the own funds requirements for market risks calculated in accordance with the alternative standardised approach set out in Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for the portfolio of all positions assigned to trading desks for which the institution calculates the own funds requirements for market risks in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013; |
|
IMAima |
= |
the own funds requirements for market risks calculated in accordance the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013 for the portfolio of all positions assigned to trading desks for which the institution calculates the own funds requirements in accordance with Part Three, Title IV, Chapter 1b 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:
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SA i |
= |
the own funds requirements for market risks 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’; |
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|
= |
the indices of all trading desks that have been classified as red, orange or 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. |
3. Institutions calculating the own funds requirements for market risks in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013 for positions assigned to trading desks that have been classified as red or orange zone desks in accordance with Article 9 of this Regulation shall inform the competent authority thereof when reporting the results of the profit and loss attribution requirement in accordance with Article 325az(2), point (d), of Regulation (EU) No 2013/575.