Article 1, Point (2) · Commission Delegated Regulation (EU) 2023/662

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(2)in Article 5, paragraph 3 is replaced by the following:‘3.For the purpose of this Section, the yearly average amount, calculated on a quarterly basis, of the liabilities referred to in paragraph 1, arising from derivative contracts as listed in Annex II to Regulation (EU) No 575/2013, including those that are off-balance sheet, shall be valued in accordance with Articles 5a to 5e of this Regulation.However, the value assigned to liabilities arising from derivative contracts may not be less than 75 % of the value of the same liabilities resulting from the application of the accounting provisions applicable to the institution concerned for the purposes of financial reporting.Where, under national accounting standards applying to an institution there is no accounting measure of exposure for certain derivative instruments because those derivative instruments are held off-balance sheet, the institution shall report to the resolution authority the sum of the fair values of those derivatives, where the sum is negative, as the replacement cost and add those derivatives to its on-balance sheet accounting values.’;