According to the Article 94 of Regulation (EU) No 575/2013 (CRR) there is a possibility to calculate capital requirement in accordance with Article 92(3) point (a) CRR in respect of institution’s trading-book business. But the calculation of trading-book business is not enough precisely mentioned in Article 94 CRR. Should institution calculate this trading-book business based: (1) on overnight positions (as at the end of business day) or (2) on daily turnover in financial instruments?
Lack of clarity under Article 94.
Article 94 of Regulation (EU) No 575/2013 (CRR) offers institutions with a small trading book business the option to replace their trading-book capital requirements referred to in Article 92(3)(b) with the capital requirement calculated under Article 92(3)(a). Article 94 details the conditions that institutions must meet to qualify as a small trading book business (namely that it is normally less than 5% of the total assets and EUR 15 million, and that it never exceeds 6% of total assets and EUR 20 million), and how the size of their on- and off-balance sheet business is calculated (Article 94(2)).
For the purposes of Article 94, in calculating the size of the on- and off-balance sheet trading-book business, institutions should use the end of business-day positions and market values of financial instruments.