+Article 33 2.

Article 33 2.

DTF shall be measured as the sum of the absolute value of buys and the absolute value of sells for both cash trades and derivatives in accordance with the following:

(a) 

for cash trades, the value is the amount paid or received on each trade;

(b) 

for derivatives, the value of the trade is the notional amount of the contract.

The notional amount of interest rate derivatives shall be adjusted for the time to maturity (in years) of those contracts. The notional amount shall be multiplied by the duration set out in the following formula:

Duration = time to maturity(in years) / 10

1. Übersicht

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1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards