Article 325ba

1. An institution using an alternative internal model shall calculate the own funds requirements for the portfolio of all positions assigned to the trading desks for which the institution has been granted permission as referred to in Article 325az(2) as the higher of the following:

(a) the sum of the following values:

(i) the institution's previous day's expected shortfall risk measure, calculated in accordance with Article 325bb (ES_t-1), and

(ii) the institution's previous day's stress scenario risk measure, calculated in accordance with Section 5 (SS_t-1); or

(b) the sum of the following values:

(i) the average of the institution's daily expected shortfall risk measure, calculated in accordance with Article 325bb for each of the preceding sixty business days (ES^avg), multiplied by the multiplication factor (m_c); and

(ii) the average of the institution's daily stress scenario risk measure, calculated in accordance with Section 5 for each of the preceding sixty business days (SS^avg).

2. Institutions holding positions in traded debt and equity instruments that are included in the scope of the internal default risk model and assigned to the trading desks referred to in paragraph 1 shall fulfil an additional own funds requirement, expressed as the higher of the following values:

(a) the most recent own funds requirement for default risk, calculated in accordance with Section 3;

(b) the average of the amount referred to in point (a) over the preceding 12 weeks.