+Artikel 325ad Berechnung der Eigenmittelanforderungen für das Ausfallrisiko des alternativen Korrelationshandelsportfolios
---+Article 325ad 1.
---+Article 325ad 2.
---+Article 325ad 3.
---+Article 325ad 4.

Artikel 325ad Berechnung der Eigenmittelanforderungen für das Ausfallrisiko des alternativen Korrelationshandelsportfolios

-

1. Übersicht

,
Article 325ad 1.

Net JTD amounts shall be multiplied by:

(a) 

for non-tranched products, the default risk weights corresponding to their credit quality as specified in Article 325y(1) and (2);

(b) 

for tranched products, the default risk weights referred to in Article 325aa(1).
Article 325ad 2.
Risk-weighted net JTD amounts shall be assigned to buckets that correspond to an index.
Article 325ad 3.

Weighted net JTD amounts shall be aggregated within each bucket in accordance with the following formula:

image
where:

DRCb

=

the own funds requirement for the default risk for bucket b;

i

=

an instrument belonging to bucket b; and

WtSACTP

=

the ratio recognising a benefit for hedging relationships within a bucket, which shall be calculated in accordance with the WtS formula set out in Article 325y(4), but using long positions and short positions across the entire ACTP and not just the positions in the particular bucket.
Article 325ad 4.

Institutions shall calculate the own funds requirements for the default risk for the ACTP by using the following formula:

image

where:

DRCACTP

=

the own funds requirement for the default risk for the ACTP; and

DRCb

=

the own funds requirement for the default risk for bucket b.

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards