+Article 336 1.

Article 336 1.

The institution shall assign its net positions in the trading book in instruments that are not securitisation positions as calculated in accordance with Article 327 to the appropriate categories in Table 1 on the basis of their issuer or obligor, external or internal credit assessment, and residual maturity, and then multiply them by the weightings shown in that table. It shall sum its weighted positions resulting from the application of this Article regardless of whether they are long or short in order to calculate its own funds requirement against specific risk.



Table 1

Categories

Specific risk own funds requirement

Debt securities which would receive a 0 % risk weight under the Standardised Approach for credit risk.

0 %

Debt securities which would receive a 20 % or 50 % risk weight under the Standardised Approach for credit risk and other qualifying items as defined in paragraph 4.

0,25 % (residual term to final maturity six months or less)

1,00 % (residual term to final maturity greater than six months and up to and including 24 months)

1,60 % (residual term to maturity exceeding 24 months)

Debt securities which would receive a 100 % risk weight under the Standardised Approach for credit risk.

8,00 %

Debt which would receive a 150 % risk weight under the Standardised Approach for credit risk.

12,00 %

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards
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