in force 2025-01-01 MODIFIED+407 −41§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Point (b) of paragraph 3 now refers to summing the absolute value of the aggregated long position with the absolute value of the aggregated short position, rather than the absolute value of long derivative positions with the absolute value of short derivative positions.
Two new subparagraphs were added after point (c) of paragraph 3: one stating that the meaning of long and short positions for point (b) is the same as that set out in Article 94(3), and another stating that the value of the aggregated long or short position equals the sum of the values of the individual long or short positions included in the calculation under point (c).
Cited: Art. 273a, v1 · Art. 273a, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 273a
Conditions for using simplified methods for calculating the exposure value
1. An institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 4, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than both of the following thresholds on the basis of an assessment carried out on a monthly basis using the data as of the last day of the month:
(a) 10 % of the institution's total assets;
(b) EUR 300 million.
2. An institution may calculate the exposure value of its derivative positions in accordance with the method set out in Section 5, provided that the size of its on- and off-balance-sheet derivative business is equal to or less than both of the following thresholds on the basis of an assessment carried out on a monthly basis using the data as of the last day of the month:
(a) 5 % of the institution's total assets;
(b) EUR 100 million.
3. For the purposes of paragraphs 1 and 2, institutions shall calculate the size of their on- and off-balance-sheet derivative business on the basis of data as of the last day of each month in accordance with the following requirements:
(a) derivative positions shall be valued at their market values on that given date; where the market value of a position is not available on a given date, institutions shall take a fair value for the position on that date; where the market value and fair value of a position are not available on a given date, institutions shall take the most recent of the market value or fair value for that position;
(b) the absolute value of the aggregated long derivative positions position shall be summed with the absolute value of the aggregated short derivative positions; position;
(c) all derivative positions shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures.
For the purposes of the first subparagraph, the meaning of long and short positions is the same as that set out in Article 94(3).
For the purposes of the first subparagraph, the value of the aggregated long (short) position shall be equal to the sum of the values of the individual long (short) positions included in the calculation in accordance with point (c).
4. By way of derogation from paragraph 1 or 2, as applicable, where the derivative business on a consolidated basis does not exceed the thresholds set out in paragraph 1 or 2, as applicable, an institution which is included in the consolidation and which would have to apply the method set out in Section 3 or 4 because it exceeds those thresholds on an individual basis, may, subject to the approval of competent authorities, instead choose to apply the method that would apply on a consolidated basis.
5. Institutions shall notify the competent authorities of the methods set out in Section 4 or 5 that they use, or cease to use, as applicable, to calculate the exposure value of their derivative positions.
6. Institutions shall not enter into a derivative transaction or buy or sell a derivative instrument for the sole purpose of complying with any of the conditions set out in paragraphs 1 and 2 during the monthly assessment.