Article 16 | Delegated Regulation 2022/2059

Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks

Article 16

Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks

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 the positions assigned to some of their trading desks shall calculate the own funds requirements for all their trading book positions and all their non-trading book positions generating foreign exchange or commodity risks as the sum of the results of the formulas set out in points (a) and (b) as follows:

(a)

(b)

Where:

IMAima	=	IMAima as specified in Article 10 of this Regulation;
SAima	=	SAima as specified in Article 10 of this Regulation;
Capital surcharge	=	the capital surcharge calculated in accordance with Article 10 of this Regulation;
C U	=	the own funds requirements calculated in accordance with Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013 for the portfolio of positions not assigned to trading desks for which institutions calculate 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;
SAall desks	=	the own funds requirements for market risks of all trading book positions and all non-trading book positions generating foreign exchange or commodity risks in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013.

CHAPTER 1 - TECHNICAL ELEMENTS TO BE INCLUDED IN THE ACTUAL AND HYPOTHETICAL CHANGES IN A PORTFOLIO’S VALUE FOR THE PURPOSES OF THE BACK-TESTING REQUIREMENTS (Article 1-5)

CHAPTER 2 - TECHNICAL SPECIFICATION OF THE PROFIT AND LOSS ATTRIBUTION REQUIREMENT (Article 6-17)

Section 1 - Criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close and consequences for trading desks that do not meet that condition (Article 6-11)

Section 2 - Technical elements to be included in the theoretical and hypothetical changes in a trading desk portfolio’s value for the purposes of the profit and loss attribution requirement (Article 12-15)

Section 3 - Own funds requirements calculated in accordance with the alternative internal model approach (Article 16-17)Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks Article 17 - Entry into force

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Article 16 - Calculation of the own funds requirements for market risk under the alternative internal model approach for institutions having trading desks

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