in force 2025-01-01 MODIFIED+1,188 −387§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The heading and Article 1 no longer describe an exemption from reporting requirements under Article 430b but instead set conditions under which an institution may calculate own funds requirements for market risk using the simplified standardised approach referred to in Article 325(1), point (c).
Article 2, point (b) now excludes positions that are excluded from the calculation of own funds requirements for foreign exchange risk under Article 104c or deducted from own funds, and point (f) now refers to summing the absolute value of the aggregated long position with the absolute value of the aggregated short position, with two new subparagraphs defining long/short positions by reference to Article 94(3) and defining the aggregated position values.
Paragraphs 5 and 6 are reworded from describing cessation and reinstatement of the reporting exemption to describing cessation of, and permission to resume, calculating own funds requirements under the simplified standardised approach, with the one-year condition period wording changed from "full-year period" to "period of one year."
Cited: Art. 325a, v1 · Art. 325a, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 325a
Exemptions from specific reporting Conditions for using the simplified standardised approach
1. An institution may calculate the own funds requirements for market risk
1. An institution shall be exempted from by using the reporting requirement set out simplified standardised approach referred to in Article 430b, 325(1), point (c), provided that the size of the institution's institution’s on- and off-balance-sheet business that is subject to market risk is equal to or less than each of the following thresholds, on the basis of an assessment carried out on a monthly basis using data as of the last day of the month:
(a) 10 % of the institution's total assets;
(b) EUR 500 million.
2. Institutions shall calculate the size of their on- and off-balance-sheet business that is subject to market risk using data as of the last day of each month in accordance with the following requirements:
(a) all the positions assigned to the trading book shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3);
(b) all non-trading book positions that are subject to foreign exchange risk or commodity risk shall be included; included, except those positions that are excluded from the calculation of the own funds requirements for foreign exchange risk in accordance with Article 104c or that are deducted from the institutions’ own funds;
(c) all positions shall be valued at their market values on that date, except for positions referred to in point (b); where the market value of a trading book position is not available on a given date, institutions shall take a fair value for the trading book position on that date; where the fair value and market value of a trading book position are not available on a given date, institutions shall take the most recent market value or fair value for that position;
(d) all non-trading book positions that are subject to foreign exchange risk shall be considered as an overall net foreign exchange position and valued in accordance with Article 352;
(e) all the non-trading book positions that are subject to commodity risk shall be valued in accordance with Articles 357 and 358;
(f) the absolute value of the aggregated long positions position shall be added to summed with the absolute value of the aggregated short positions. position.
For the purposes of the first subparagraph, the meaning of long and short positions is the same as the meaning set out in Article 94(3).
For the purposes of the first subparagraph, the value of the aggregated long (short) position shall be equal to the sum of the values of the individual long (short) positions included in the calculation in accordance with points (a) and (b) of that subparagraph.
3. Institutions shall notify the competent authorities when they calculate, or cease to calculate, their own funds requirements for market risk in accordance with this Article.
4. An institution that no longer meets one or more of the conditions set out in paragraph 1 shall immediately notify the competent authority thereof.
5. The exemption from the reporting requirements laid down in Article 430b Institutions shall cease to apply calculate the own funds requirements for market risk in accordance with the approach referred to in Article 325(1), point (c), within three months of either of the following cases:
(a) the institution does not meet the condition set out in point (a) or (b) of paragraph 1 for three consecutive months; or
(b) the institution does not meet the condition set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months.
6. Where an An institution that has become subject ceased to calculate the reporting own funds requirements laid down for market risk using the approach referred to in Article 430b in accordance with paragraph 5 of this Article, the institution 325(1), point (c), shall only be exempted from those reporting permitted to start calculating the own funds requirements for market risk using that approach where it demonstrates to the competent authority that all of the conditions set out in paragraph 1 of this Article have been met for an uninterrupted full-year period. period of one year.
7. Institutions shall not enter into, buy or sell a position only for the purpose of complying with any of the conditions set out in paragraph 1 during the monthly assessment.
8. An institution that is eligible for the treatment set out in Article 94 shall be exempted from the reporting requirement set out in Article 430b.