AI Summary of Article 336 Own funds requirement for non-securitisation debt instruments
This document outlines the categorisation and calculation of specific risk own funds requirements for trading book positions comprising non-securitisation instruments. Institutions must assign their net positions based on issuer or obligor characteristics, credit assessments, and residual maturity, subsequently applying specific weightings from Table 1 to ascertain their own funds requirements against specific risks.
In addition to risk categorisation, certain criteria define qualifying items, such as liquidity and investment quality, and institutions must establish a documented methodology to evaluate asset compliance. This nuanced approach is essential for maintaining regulatory standards in the trading environment.
Article 336 Own funds requirement for non-securitisation debt instruments
1. The institution shall assign its net positions in the trading book in instruments that are not securitisation positions as calculated in accordance with Article 327 to the appropriate categories in Table 1 on the basis of their issuer or obligor, external or internal credit assessment, and residual maturity, and then multiply them by the weightings shown in that table. It shall sum its weighted positions resulting from the application of this Article regardless of whether they are long or short in order to calculate its own funds requirement against specific risk.
Table 1
|
Categories |
Specific risk own funds requirement |
|---|---|
|
Debt securities which would receive a 0 % risk weight under the Standardised Approach for credit risk. |
0 % |
|
Debt securities which would receive a 20 % or 50 % risk weight under the Standardised Approach for credit risk and other qualifying items as defined in paragraph 4. |
0,25 % (residual term to final maturity six months or less) 1,00 % (residual term to final maturity greater than six months and up to and including 24 months) 1,60 % (residual term to maturity exceeding 24 months) |
|
Debt securities which would receive a 100 % risk weight under the Standardised Approach for credit risk. |
8,00 % |
|
Debt which would receive a 150 % risk weight under the Standardised Approach for credit risk. |
12,00 % |