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+Article 338 2. |
Article 338 2.An institution shall determine the larger of the following amounts as the specific risk own funds requirement for the correlation trading portfolio:
(a)
the total specific risk own funds requirement that would apply just to the net long positions of the correlation trading portfolio;
(b)
the total specific risk own funds requirement that would apply just to the net short positions of the correlation trading portfolio. 1. Overview
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
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