Contents
- 1. For the purposes of the trading desk back-testing referred…
- 2. When calculating the hypothetical changes in the trading d…
- 3. When calculating the hypothetical changes in a trading des…
- 4. Institutions shall calculate the value of an adjustment as…
- 5. In addition to the exclusions laid down in paragraph 3, po…
3.When calculating the hypothetical changes in a trading desk portfolio’s value, institutions shall include in that value all those adjustments that have been considered in the end-of-day valuation process referred to in paragraph 1 and that are market risk related, that are calculated on a daily basis, and that are included in the institution’s risk-measurement model, with the exception of all of the following adjustments:
(a)credit valuation adjustments reflecting the current market value of the credit risk of counterparties to the institution;
(b)adjustments attributed to the institution’s own credit risk that have been excluded from own funds in accordance with Article 33(1), point (b) or (c), of Regulation (EU) No 575/2013;
(c)additional value adjustments deducted from Common Equity Tier 1 capital in accordance with Article 34 of Regulation (EU) No 575/2013.
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