AI Summary of Article 338 Own funds requirement for the correlation trading portfolio
Article requires institutions to identify their correlation trading portfolio based on specific criteria outlined in Article 325(6), (7), and (8). This classification is essential for regulatory compliance and risk assessment.
Moreover, institutions must calculate the specific risk own funds requirement for their correlation trading portfolio. This requirement is the greater of the specific risk amounts applicable to net long or net short positions within the portfolio, ensuring a robust approach to capital adequacy and risk management.
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.