+TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK
---+CHAPTER 1 General provisions
------+Article 325 Approaches for calculating the own funds requirements for market risk
---------+Article 325 1.
---------+Article 325 2.
---------+Article 325 3.
---------+Article 325 4.
---------+Article 325 5.
---------+Article 325 6.
---------+Article 325 7.
---------+Article 325 8.
---------+Article 325 9.
------+Article 325a Conditions for using the simplified standardised approach
---------+Article 325a 1.
---------+Article 325a 2.
---------+Article 325a 3.
---------+Article 325a 4.
---------+Article 325a 5.
---------+Article 325a 6.
---------+Article 325a 7.
------+Article 325b Permission for consolidated requirements
---------+Article 325b 1.
---------+Article 325b 2.
---------+Article 325b 3.
---------+Article 325b 4.
---+CHAPTER 1a Alternative standardised approach
------+Section 1 General provisions
---------+Article 325c Scope, structure and qualitative requirements of the alternative standardised approach
------------+Article 325c 1.
------------+Article 325c 2.
------------+Article 325c 3.
------------+Article 325c 4.
------------+Article 325c 5.
------------+Article 325c 6.
------------+Article 325c 7.
------------+Article 325c 8.
------+Section 2 Sensitivities-based method for calculating the own funds requirement
---------+Article 325d Definitions
---------+Article 325e Components of the sensitivities-based method
------------+Article 325e 1.
------------+Article 325e 2.
------------+Article 325e 3.
---------+Article 325f Own funds requirements for delta and vega risks
------------+Article 325f 1.
------------+Article 325f 2.
------------+Article 325f 3.
------------+Article 325f 4.
------------+Article 325f 5.
------------+Article 325f 6.
------------+Article 325f 7.
------------+Article 325f 8.
---------+Article 325g Own funds requirements for curvature risk
------------+Article 325g 1.
------------+Article 325g 2.
------------+Article 325g 3.
------------+Article 325g 4.
------------+Article 325g 5.
------------+Article 325g 6.
------------+Article 325g 7.
---------+Article 325h Aggregation of risk-class specific own funds requirements for delta, vega and curvature risks
------------+Article 325h 1.
------------+Article 325h 2.
------------+Article 325h 3.
------------+Article 325h 4.
---------+Article 325i Treatment of index instruments and other multi-underlying instruments
------------+Article 325i 1.
------------+Article 325i 2.
------------+Article 325i 3.
------------+Article 325i 4.
------------+Article 325i 5.
------------+Article 325i 6.
---------+Article 325j Treatment of collective investment undertakings
------------+Article 325j 1.
------------+Article 325j 1a.
------------+Article 325j 2.
------------+Article 325j 3.
------------+Article 325j 4.
------------+Article 325j 5.
------------+Article 325j 6.
------------+Article 325j 7.
---------+Article 325k Underwriting positions
------------+Article 325k 1.
------------+Article 325k 2.
------------+Article 325k 3.
------+Section 3 Risk factor and sensitivity definitions
---------+Subsection 1 Risk factor definitions
------------+Article 325l General interest rate risk factors
---------------+Article 325l 1.
---------------+Article 325l 2.
---------------+Article 325l 3.
---------------+Article 325l 4.
---------------+Article 325l 5.
---------------+Article 325l 6.
---------------+Article 325l 7.
---------------+Article 325l 8.
---------------+Article 325l 9.
------------+Article 325m Credit spread risk factors for non-securitisation
---------------+Article 325m 1.
---------------+Article 325m 2.
---------------+Article 325m 3.
---------------+Article 325m 4.
------------+Article 325n Credit spread risk factors for securitisation
---------------+Article 325n 1.
---------------+Article 325n 2.
---------------+Article 325n 3.
---------------+Article 325n 4.
---------------+Article 325n 5.
------------+Article 325o Equity risk factors
---------------+Article 325o 1.
---------------+Article 325o 2.
---------------+Article 325o 3.
---------------+Article 325o 4.
------------+Article 325p Commodity risk factors
---------------+Article 325p 1.
---------------+Article 325p 2.
---------------+Article 325p 3.
---------------+Article 325p 4.
------------+Article 325q Foreign exchange risk factors
---------------+Article 325q 1.
---------------+Article 325q 2.
---------------+Article 325q 3.
---------------+Article 325q 4.
---------------+Article 325q 5.
---------------+Article 325q 6.
---------------+Article 325q 7.
---------+Subsection 2 Sensitivity definitions
------------+Article 325r Delta risk sensitivities
---------------+Article 325r 1.
---------------+Article 325r 2.
---------------+Article 325r 3.
---------------+Article 325r 4.
---------------+Article 325r 5.
------------+Article 325s Vega risk sensitivities
---------------+Article 325s 1.
---------------+Article 325s 2.
---------------+Article 325s 3.
---------------+Article 325s 4.
------------+Article 325t Requirements on sensitivity computations
---------------+Article 325t 1.
---------------+Article 325t 2.
---------------+Article 325t 3.
---------------+Article 325t 4.
---------------+Article 325t 5.
---------------+Article 325t 6.
------+Section 4 The residual risk add-on
---------+Article 325u Own funds requirements for residual risks
------------+Article 325u 1.
------------+Article 325u 2.
------------+Article 325u 3.
------------+Article 325u 4.
------------+Article 325u 4a.
------------+Article 325u 5.
------------+Article 325u 6.
------------+Article 325u 7.
------+Section 5 Own funds requirements for the default risk
---------+Article 325v Definitions and general provisions
------------+Article 325v 1.
------------+Article 325v 2.
------------+Article 325v 3.
---------+Subsection 1 Own funds requirements for the default risk for non-securitisations
------------+Article 325w Gross jump-to-default amounts
---------------+Article 325w 1.
---------------+Article 325w 2.
---------------+Article 325w 3.
---------------+Article 325w 4.
---------------+Article 325w 5.
---------------+Article 325w 6.
---------------+Article 325w 7.
---------------+Article 325w 8.
------------+Article 325x Net jump-to-default amounts
---------------+Article 325x 1.
---------------+Article 325x 2.
---------------+Article 325x 3.
---------------+Article 325x 4.
---------------+Article 325x 5.
------------+Article 325y Calculation of the own funds requirements for the default risk
---------------+Article 325y 1.
---------------+Article 325y 2.
---------------+Article 325y 3.
---------------+Article 325y 4.
---------------+Article 325y 5.
---------------+Article 325y 6.
---------+Subsection 2 Own funds requirements for the default risk for securitisations not included in the ACTP
------------+Article 325z Jump-to-default amounts
---------------+Article 325z 1.
---------------+Article 325z 2.
---------------+Article 325z 3.
---------------+Article 325z 4.
---------------+Article 325z 5.
------------+Article 325aa Calculation of the own funds requirement for the default risk for securitisations
---------------+Article 325aa 1.
---------------+Article 325aa 2.
---------------+Article 325aa 3.
---------------+Article 325aa 4.
---------------+Article 325aa 5.
---------------+Article 325aa 6.
---------------+Article 325aa 7.
---------+Subsection 3 Own funds requirements for the default risk for securitisations included in the ACTP
------------+Article 325ab Scope
------------+Article 325ac Jump-to-default amounts for the ACTP
---------------+Article 325ac 1.
---------------+Article 325ac 2.
---------------+Article 325ac 3.
---------------+Article 325ac 4.
------------+Article 325ad Calculation of the own funds requirements for the default risk for the ACTP
---------------+Article 325ad 1.
---------------+Article 325ad 2.
---------------+Article 325ad 3.
---------------+Article 325ad 4.
------+Section 6 Risk weights and correlations
---------+Subsection 1 Delta risk weights and correlations
------------+Article 325ae Risk weights for general interest rate risk
---------------+Article 325ae 1.
---------------+Article 325ae 2.
---------------+Article 325ae 3.
------------+Article 325af Intra bucket correlations for general interest rate risk
---------------+Article 325af 1.
---------------+Article 325af 2.
---------------+Article 325af 3.
---------------+Article 325af 4.
---------------+Article 325af 5.
------------+Article 325ag Correlations across buckets for general interest rate risk
---------------+Article 325ag 1.
---------------+Article 325ag 2.
------------+Article 325ah Risk weights for credit spread risk for non-securitisations
---------------+Article 325ah 1.
---------------+Article 325ah 2.
---------------+Article 325ah 3.
------------+Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations
---------------+Article 325ai 1.
---------------+Article 325ai 2.
------------+Article 325aj Correlations across buckets for credit spread risk for non-securitisations
------------+Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP
------------+Article 325al Correlations for credit spread risk for securitisations included in the ACTP
---------------+Article 325al 1.
---------------+Article 325al 2.
------------+Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP
---------------+Article 325am 1.
---------------+Article 325am 2.
---------------+Article 325am 3.
------------+Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP
---------------+Article 325an 1.
---------------+Article 325an 2.
------------+Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP
---------------+Article 325ao 1.
---------------+Article 325ao 2.
------------+Article 325ap Risk weights for equity risk
---------------+Article 325ap 1.
---------------+Article 325ap 2.
---------------+Article 325ap 3.
---------------+Article 325ap 4.
------------+Article 325aq Intra-bucket correlations for equity risk
---------------+Article 325aq 1.
---------------+Article 325aq 2.
---------------+Article 325aq 3.
---------------+Article 325aq 4.
---------------+Article 325aq 5.
------------+Article 325ar Correlations across buckets for equity risk
------------+Article 325as Risk weights for commodity risk
------------+Article 325at Intra-bucket correlations for commodity risk
---------------+Article 325at 1.
---------------+Article 325at 2.
---------------+Article 325at 3.
---------------+Article 325at 4.
------------+Article 325au Correlations across buckets for commodity risk
------------+Article 325av Risk weights for foreign exchange risk
---------------+Article 325av 1.
---------------+Article 325av 2.
---------------+Article 325av 3.
---------------+Article 325av 4.
---------------+Article 325av 5.
------------+Article 325aw Correlations for foreign exchange risk
---------+Subsection 2 Vega and curvature risk weights and correlations
------------+Article 325ax Vega and curvature risk weights
---------------+Article 325ax 1.
---------------+Article 325ax 2.
---------------+Article 325ax 4.
---------------+Article 325ax 5.
---------------+Article 325ax 6.
------------+Article 325ay Vega and curvature risk correlations
---------------+Article 325ay 1.
---------------+Article 325ay 2.
---------------+Article 325ay 3.
---------------+Article 325ay 4.
---------------+Article 325ay 5.
---+CHAPTER 1b Alternative internal model approach
------+Section 1 Permission and own funds requirements
---------+Article 325az Alternative internal model approach and permission to use alternative internal models
------------+Article 325az 1.
------------+Article 325az 2.
------------+Article 325az 3.
------------+Article 325az 4.
------------+Article 325az 5.
------------+Article 325az 6.
------------+Article 325az 7.
------------+Article 325az 8.
------------+Article 325az 9.
------------+Article 325az 10.
---------+Article 325ba Own funds requirements when using alternative internal models
------------+Article 325ba 1.
------------+Article 325ba 2.
------------+Article 325ba 3.
------+Section 2 General requirements
---------+Article 325bb Expected shortfall risk measure
------------+Article 325bb 1.
------------+Article 325bb 2.
------------+Article 325bb 3.
------------+Article 325bb 4.
---------+Article 325bc Partial expected shortfall calculations
------------+Article 325bc 1.
------------+Article 325bc 2.
------------+Article 325bc 3.
------------+Article 325bc 4.
------------+Article 325bc 5.
------------+Article 325bc 6.
---------+Article 325bd Liquidity horizons
------------+Article 325bd 1.
------------+Article 325bd 2.
------------+Article 325bd 3.
------------+Article 325bd 4.
------------+Article 325bd 5.
------------+Article 325bd 5a.
------------+Article 325bd 6.
------------+Article 325bd 7.
---------+Article 325be Assessment of the modellability of risk factors
------------+Article 325be 1.
------------+Article 325be 1a.
------------+Article 325be 2.
------------+Article 325be 2a.
------------+Article 325be 3.
---------+Article 325bf Regulatory back-testing requirements and multiplication factors
------------+Article 325bf 1.
------------+Article 325bf 2.
------------+Article 325bf 3.
------------+Article 325bf 4.
------------+Article 325bf 5.
------------+Article 325bf 6.
------------+Article 325bf 7.
------------+Article 325bf 8.
------------+Article 325bf 9.
------------+Article 325bf 10.
---------+Article 325bg Profit and loss attribution requirement
------------+Article 325bg 1.
------------+Article 325bg 2.
------------+Article 325bg 3.
------------+Article 325bg 4.
---------+Article 325bh Requirements on risk measurement
------------+Article 325bh 1.
------------+Article 325bh 2.
---------+Article 325bi Qualitative requirements
------------+Article 325bi 1.
------------+Article 325bi 2.
------------+Article 325bi 3.
---------+Article 325bj Internal validation
------------+Article 325bj 1.
------------+Article 325bj 2.
------------+Article 325bj 3.
---------+Article 325bk Calculation of stress scenario risk measure
------------+Article 325bk 1.
------------+Article 325bk 2.
------------+Article 325bk 3.
------+Section 3 Internal default risk model
---------+Article 325bl Scope of the internal default risk model
------------+Article 325bl 1.
------------+Article 325bl 2.
---------+Article 325bm Permission to use an internal default risk model
------------+Article 325bm 1.
------------+Article 325bm 2.
---------+Article 325bn Own funds requirements for default risk using an internal default risk model
------------+Article 325bn 1.
------------+Article 325bn 2.
------------+Article 325bn 3.
---------+Article 325bo Recognition of hedges in an internal default risk model
------------+Article 325bo 1.
------------+Article 325bo 2.
------------+Article 325bo 3.
---------+Article 325bp Particular requirements for an internal default risk model
------------+Article 325bp 1.
------------+Article 325bp 2.
------------+Article 325bp 3.
------------+Article 325bp 4.
------------+Article 325bp 5.
------------+Article 325bp 6.
------------+Article 325bp 7.
------------+Article 325bp 8.
------------+Article 325bp 9.
------------+Article 325bp 10.
------------+Article 325bp 11.
------------+Article 325bp 12.
---+CHAPTER 2 Own funds requirements for position risk
------+Section 1 General provisions and specific instruments
---------+Article 326 Own funds requirements for position risk
---------+Article 327 Netting
------------+Article 327 1.
------------+Article 327 2.
------------+Article 327 3.
---------+Article 328 Interest rate futures and forwards
------------+Article 328 1.
------------+Article 328 2.
---------+Article 329 Options and warrants
------------+Article 329 1.
------------+Article 329 2.
------------+Article 329 3.
------------+Article 329 4.
---------+Article 330 Swaps
---------+Article 331 Interest rate risk on derivative instruments
------------+Article 331 1.
------------+Article 331 2.
---------+Article 332 Credit Derivatives
------------+Article 332 1.
------------+Article 332 2.
------------+Article 332 3.
---------+Article 333 Securities sold under a repurchase agreement or lent
------+Section 2 Debt instruments
---------+Article 334 Net positions in debt instruments
---------+Sub-Section 1 Specific risk
------------+Article 335 Cap on the own funds requirement for a net position
------------+Article 336 Own funds requirement for non-securitisation debt instruments
---------------+Article 336 1.
---------------+Article 336 2.
---------------+Article 336 3.
---------------+Article 336 4.
------------+Article 337 Own funds requirement for securitisation instruments
---------------+Article 337 1.
---------------+Article 337 2.
---------------+Article 337 3.
---------------+Article 337 4.
---------------+Article 337 5.
------------+Article 338 Own funds requirement for the correlation trading portfolio
---------------+Article 338 1.
---------------+Article 338 2.
---------+Sub-Section 2 General risk
------------+Article 339 Maturity-based calculation of general risk
---------------+Article 339 1.
---------------+Article 339 2.
---------------+Article 339 3.
---------------+Article 339 4.
---------------+Article 339 5.
---------------+Article 339 6.
---------------+Article 339 7.
---------------+Article 339 8.
---------------+Article 339 9.
------------+Article 340 Duration-based calculation of general risk
---------------+Article 340 1.
---------------+Article 340 2.
---------------+Article 340 3.
---------------+Article 340 4.
---------------+Article 340 5.
---------------+Article 340 6.
---------------+Article 340 7.
------+Section 3 Equities
---------+Article 341 Net positions in equity instruments
------------+Article 341 1.
------------+Article 341 2.
------------+Article 341 3.
---------+Article 342 Specific risk of equity instruments
---------+Article 343 General risk of equity instruments
---------+Article 344 Stock indices
------------+Article 344 1.
------------+Article 344 2.
------------+Article 344 3.
------------+Article 344 4.
------+Section 4 Underwriting
---------+Article 345 Reduction of net positions
------------+Article 345 1.
------------+Article 345 2.
------+Section 5 Specific risk own funds requirements for positions hedged by credit derivatives
---------+Article 346 Allowance for hedges by credit derivatives
------------+Article 346 1.
------------+Article 346 2.
------------+Article 346 3.
------------+Article 346 4.
------------+Article 346 5.
------------+Article 346 6.
---------+Article 347 Allowance for hedges by first and nth-to default credit derivatives
------+Section 6 Own funds requirements for CIUs
---------+Article 348 Own funds requirements for CIUs
------------+Article 348 1.
------------+Article 348 2.
---------+Article 349 General criteria for CIUs
---------+Article 350 Specific methods for CIUs
------------+Article 350 1.
------------+Article 350 2.
------------+Article 350 3.
------------+Article 350 4.
---+CHAPTER 3 Own funds requirements for foreign-exchange risk
------+Article 351 De minimisand weighting for foreign exchange risk
------+Article 352 Calculation of the overall net foreign exchange position
---------+Article 352 1.
---------+Article 352 3.
---------+Article 352 4.
---------+Article 352 5.
---------+Article 352 6.
------+Article 353 Foreign exchange risk of CIUs
---------+Article 353 1.
---------+Article 353 2.
---------+Article 353 3.
------+Article 354 Closely correlated currencies
---------+Article 354 1.
---------+Article 354 2.
---------+Article 354 3.
---------+Article 354 4.
---------+Article 354 5.
---------+Article 354 6.
---+CHAPTER 4 Own funds requirements for commodities risk
------+Article 355 Choice of method for commodities risk
------+Article 356 Ancillary commodities business
---------+Article 356 1.
---------+Article 356 2.
------+Article 357 Positions in commodities
---------+Article 357 1.
---------+Article 357 2.
---------+Article 357 3.
---------+Article 357 4.
------+Article 358 Particular instruments
---------+Article 358 1.
---------+Article 358 2.
---------+Article 358 3.
---------+Article 358 4.
---------+Article 358 5.
------+Article 359 Maturity ladder approach
---------+Article 359 1.
---------+Article 359 2.
---------+Article 359 3.
---------+Article 359 4.
---------+Article 359 5.
---------+Article 359 6.
------+Article 360 Simplified approach
---------+Article 360 1.
---------+Article 360 2.
------+Article 361 Extended maturity ladder approach

TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK

TITLE IV OWN FUNDS REQUIREMENTS FOR MARKET RISK

1. Overview

,

Summary	Regulation
CHAPTER 1 General provisions	CHAPTER 1 General provisions
CHAPTER 1a Alternative standardised approach	CHAPTER 1a Alternative standardised approach
CHAPTER 1b Alternative internal model approach	CHAPTER 1b Alternative internal model approach
CHAPTER 2 Own funds requirements for position risk	CHAPTER 2 Own funds requirements for position risk
CHAPTER 3 Own funds requirements for foreign-exchange risk	CHAPTER 3 Own funds requirements for foreign-exchange risk
CHAPTER 4 Own funds requirements for commodities risk	CHAPTER 4 Own funds requirements for commodities risk

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source	Requirement

3. Related Standards

Standards
Source	Requirement

Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
EULAW -
European Regulation published on http://eur-lex.europa.eu/