Article 9
Specification of criteria necessary to ensure that the theoretical changes and the hypothetical changes in the value of a trading desk portfolio are sufficiently close
1. For the purposes of Article 325bg(2) of Regulation (EU) No 575/2013, institutions shall classify each of the trading desks as a green, orange, yellow or red zone desk in accordance with paragraphs 2 to 5.
Where a trading desk is classified as a green zone desk, theoretical changes and the hypothetical changes in the value of that trading desk’s portfolio shall be considered sufficiently close.
Where a trading desk is classified as an orange, yellow or red zone desk, theoretical changes and the hypothetical changes in the value of that trading desk’s portfolio shall not be considered sufficiently close.
2. A trading desk shall be classified as a ‘green zone desk’ where all of the following conditions are met:
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(a) |
the Spearman correlation coefficient for the trading desk, calculated in accordance with Article 7 of this Regulation, is greater than 0,8; |
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(b) |
the Kolmogorov-Smirnov test metric for the trading desk, calculated in accordance with Article 8 of this Regulation, is lower than 0,09. |
3. A trading desk shall be classified as a ‘red zone desk’ where either of the following conditions is met:
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(a) |
the Spearman correlation coefficient for the trading desk, calculated in accordance with Article 7 of this Regulation, is lower than 0,7; |
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(b) |
the Kolmogorov-Smirnov test metric for the trading desk, calculated in accordance with Article 8 of this Regulation, is greater than 0,12. |
4. A trading desk shall be classified as an ‘orange zone’ desk where all of the following conditions are met:
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(a) |
the trading desk is not classified as either a green or a red zone desk; |
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(b) |
the own funds requirements for all the positions assigned to that trading desk were calculated in the previous quarter based on the alternative standardised approach set out in Part Three, Title IV, Chapter 1a of Regulation (EU) No 575/2013. |
5. A trading desk which is not classified as a green, orange or red zone desk, shall be classified as a ‘yellow zone desk’.