Contents
3.When calculating hypothetical changes in a 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 valuation adjustments deducted from Common Equity Tier 1 capital in accordance with Article 34 of Regulation (EU) No 575/2013.
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