195. While analysing market risk activities, competent authorities should also consider the …

While analysing market risk activities, competent authorities should also consider the complexity of the relevant financial products (including products valued using mark-to-model techniques) and of specific market operations (including high-frequency trading). The following points should be considered:

• a. where the investment firm holds derivatives positions, competent authorities should assess both the market value and the notional amount;
• b. where the investment firm is engaged in OTC derivatives, competent authorities should evaluate, where available, the weight of these transactions in the total derivatives portfolio and the breakdown of the OTC portfolio by type of contract (swap, forward), underlying financial instruments (the counterparty credit risk associated with these products is covered under the risk-to-firm methodology);
• c. where the investment firm has implemented hedging strategies, competent authorities should assess the residual market risk after implementation of these strategies.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.