(71)This Regulation lays down limited exceptions for certain correlation trading activities, in accordance with which an institution may be permitted by its supervisor to calculate a comprehensive risk capital charge subject to strict requirements. In such cases the institution should be required to subject those activities to a capital charge equal to the higher of the capital charge in accordance with that internally developed approach and 8 % of the capital charge for specific risk in accordance with the standardised measurement method. It should not be required to subject those exposures to the incremental risk charge but they should be incorporated into both the value-at-risk measures and the stressed value-at-risk measures.
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New version applies from 18/01/2015 — introduced by Commission Delegated Regulation (EU) 2015/62.
151 provisions change.
Later versions: 19/07/2016, 01/01/2018, 01/01/2019, 26/04/2019, 27/06/2019, 25/12/2019, 27/06/2020, 28/12/2020, 29/06/2021, 30/09/2021, 10/04/2022, 08/07/2022, 01/01/2023, 28/06/2023, 09/01/2024, 09/07/2024, 01/01/2025, 29/06/2025, 01/01/2026, 26/06/2026, 01/01/2027.
Recital 71 changes in this version: compare with the current text.