Version in force , Modified +87 −1,839§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
The detailed criteria in the earlier text for what qualifies as, or is excluded from, the correlation trading portfolio, including the description of securitisation positions, n-th-to-default credit derivatives, reference instrument types, the two-way market test, excluded underlyings, and the hedging allowance, have been removed.
In their place, the text now instructs an institution to determine its correlation trading portfolio by reference to Article 325(6), (7) and (8).
The provision on determining the larger of the net long or net short specific risk own funds requirement for the correlation trading portfolio remains present in both versions, now renumbered as paragraph 2.
Cited: Art. 338, v1 (external, EUR-Lex) · Art. 338, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
texts differ too much for an inline diff; shown separately
Previous version, in force 9 July 2024 02013R0575-20240709
Article 338 Own funds requirement for the correlation trading portfolio 1. The correlation trading portfolio shall consist of securitisation positions and n-th-to-default credit derivatives that meet all of the following criteria: (a) the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche; (b) all reference instruments are either of the following: (i) single-name instruments, including single-name credit derivatives, for which a liquid two-way market exists; (ii) commonly-traded indices based on those reference entities. A two-way market is deemed to exist where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at such price within a relatively short time conforming to trade custom. 2. Positions which reference any of the following shall not be part of the correlation trading portfolio: (a) an underlying that is capable of being assigned to the exposure class retail exposures or to the exposure class exposures secured by mortgages on immovable property under the Standardised Approach for credit risk in an institution's non-trading book; (b) a claim on a special purpose entity, collateralised, directly or indirectly, by a position that would itself not be eligible for inclusion in the correlation trading portfolio in accordance with paragraph 1 and this paragraph. 3. An institution may include in the correlation trading portfolio positions which are neither securitisation positions nor n-th-to-default credit derivatives but which hedge other positions of that portfolio, provided that a liquid two-way market as described in the last subparagraph of paragraph 1 exists for the instrument or its underlyings. 4. 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.
this version, in force 1 January 2025 02013R0575-20250101
Article 338 Own funds requirement for the correlation trading portfolio 1. For the purposes of this Article, an institution shall determine its correlation trading portfolio in accordance with Article 325(6), (7) and (8). 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.