Art. 325bl · Scope of the internal default risk model

Version in force 27 June 2019, Inserted +924 −0§

Amended by Regulation (EU) 2019/876 32019R0876 on EUR-Lex (external, EUR-Lex)

Applies from: not readable (an inserted provision states its own application date only in prose) why

Not in every listWhat this means

Found in the text, but not every source lists it — the text comparison and the amending act's instructions found this change; the EU's own amendment metadata does not list it. The source that does not name it is the EU's own amendment metadata. All are shown; none is overruled.

Explanation, written by a model and checked against the cited text

This is a newly inserted article that sets out which positions of an institution fall within the scope of the internal default risk model, requiring an own funds requirement for default risk for positions assigned to permitted trading desks that contain a risk factor mapped to equity or credit spread risk factor categories, calculated using that internal model.

It also requires that for each such position an institution identify one issuer of traded debt or equity instruments related to at least one risk factor.

Cited: Art. 325bl, v2 (external, EUR-Lex)

v1 is the previous version, v2 this one.

Article 325bl
Scope of the internal default risk model
1. All the positions of an institution that have been assigned to the trading desks for which the institution has been granted permission as referred to in Article 325az(2) shall be subject to an own funds requirement for default risk where those positions contain at least one risk factor that has been mapped to the broad categories of equity or credit spread risk factors in accordance with Article 325bd(1). That own funds requirement, which is incremental to the risks captured by the own funds requirements referred to in Article 325ba(1), shall be calculated using the institution's internal default risk model. That model which shall comply with the requirements laid down in this Section.
2. For each of the positions referred to in paragraph 1, an institution shall identify one issuer of traded debt or equity instruments related to at least one risk factor.