Chapter 1, Section 1, Article 1, Paragraph 5. · Commission Delegated Regulation (EU) 2022/2059

Contents

5.In addition to the exclusions laid down in paragraph 3, points (a), (b), and (c), institutions may exclude from the calculation of the actual changes in a trading desk portfolio’s value an adjustment that is calculated in the end-of-day valuation process across sets of positions assigned to more than one trading desk on a net basis, where all of the following conditions are met:

(a)that adjustment is, due to its nature, calculated on a net basis across sets of positions that are assigned to more than one trading desk;

(b)the internal risk management of that adjustment is consistent with the level at which the adjustment is calculated;

(c)the institution concerned documents all of the following:

(i)the sets of positions across which the adjustment is calculated;

(ii)the reasoning underpinning the calculation of the adjustment across the sets of positions referred to in point (i);

(iii)the justification for not calculating the adjustment on the basis of positions assigned to that trading desk only.