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+Article 273a 3. |
Article 273a 3.For the purposes of paragraphs 1 and 2, institutions shall calculate the size of their on- and off-balance-sheet derivative business on the basis of data as of the last day of each month in accordance with the following requirements:
(a)
derivative positions shall be valued at their market values on that given date; where the market value of a position is not available on a given date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on a given date, institutions shall take the most recent of the market value or fair value for that position;
(b)
the absolute value of the aggregated long position shall be summed with the absolute value of the aggregated short position;
(c)
all derivative positions shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures. For the purposes of the first subparagraph, the meaning of long and short positions is the same as that set out in Article 94(3). For the purposes of the first subparagraph, the value of the aggregated long (short) position shall be equal to the sum of the values of the individual long (short) positions included in the calculation in accordance with point (c). 1. Übersicht
1.1 Referenzen1.2 Identifizierte Anforderungen1.3 Zugehörige Standards2. Identifizierte Anforderungen
3. Zugehörige Standards
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