Assessment of the level of own funds for internal approaches for market risk
Article 11
1. Where assessing the level of own funds of each institution, competent authorities shall take into account both of the following: (a) the level of own funds by non-aggregated portfolio; (b) the effect of the diversification benefit applied by each institution in aggregated portfolios, by comparing the sum of own funds of the non-aggregated portfolios referred to in point (a) of this paragraph with the level of own funds provided for the aggregated portfolio, as provided in the EBA report referred to in the second subparagraph of Article 78(3) of Directive 2013/36/EU. 2. Where assessing the level of own funds by institution, competent authorities shall also take into account both of the following: (a) the effect of the supervisory add-ons; (b) the effect of the supervisory actions not contemplated in the data collected by EBA.