{
  "url": "https://openlegislation.uk/eu-regulation-2013-575/article-338",
  "json_url": "https://openlegislation.uk/eu-regulation-2013-575/article-338.json",
  "legislation": "eur/2013/575",
  "legislation_title": "Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2013-575",
  "path": "article/338",
  "kind": "article",
  "number": "338",
  "heading": "Own funds requirement for the correlation trading portfolio",
  "text": "1 . The correlation trading portfolio shall consist of securitisation positions and n-th-to-default credit derivatives that meet all of the following criteria:\n( a ) the positions are neither re-securitisation positions, nor options on a securitisation tranche, nor any other derivatives of securitisation exposures that do not provide a pro-rata share in the proceeds of a securitisation tranche;\n( b ) all reference instruments are either of the following:\n(i) single-name instruments, including single-name credit derivatives, for which a liquid two-way market exists;\n(ii) commonly-traded indices based on those reference entities.\nA two-way market is deemed to exist where there are independent bona fide offers to buy and sell so that a price reasonably related to the last sales price or current bona fide competitive bid and offer quotations can be determined within one day and settled at such price within a relatively short time conforming to trade custom.\n2 . Positions which reference any of the following shall not be part of the correlation trading portfolio:\n( a ) an underlying that is capable of being assigned to the exposure class ‘ retail exposures ’ or to the exposure class ‘ exposures secured by mortgages on immovable property ’ under the Standardised Approach for credit risk in an institution's non-trading book;\n( b ) a claim on a special purpose entity, collateralised, directly or indirectly, by a position that would itself not be eligible for inclusion in the correlation trading portfolio in accordance with paragraph 1 and this paragraph.\n3 . An institution may include in the correlation trading portfolio positions which are neither securitisation positions nor n-th-to-default credit derivatives but which hedge other positions of that portfolio, provided that a liquid two-way market as described in the last subparagraph of paragraph 1 exists for the instrument or its underlyings.\n4 . An institution shall determine the larger of the following amounts as the specific risk own funds requirement for the correlation trading portfolio:\n( a ) the total specific risk own funds requirement that would apply just to the net long positions of the correlation trading portfolio;\n( b ) the total specific risk own funds requirement that would apply just to the net short positions of the correlation trading portfolio.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "X",
      "label": "X1",
      "text": "Substituted by Corrigendum to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2013/575/article/338",
    "retrieved_at": "2026-11-01T14:48:36.198705+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}