Exemptions from specific reporting requirements for market risk
An institution shall be exempted from the reporting requirement set out in Article 430b, provided that the size of the institution's on- and off-balance-sheet business that is subject to market risk is equal to or less than each of the following thresholds, on the basis of an assessment carried out on a monthly basis using data as of the last day of the month:
10 % of the institution's total assets;
EUR 500 million.
Institutions shall calculate the size of their on- and off-balance-sheet business that is subject to market risk using data as of the last day of each month in accordance with the following requirements:
all the positions assigned to the trading book shall be included, except credit derivatives that are recognised as internal hedges against non-trading book credit risk exposures and the credit derivative transactions that perfectly offset the market risk of the internal hedges as referred to in Article 106(3);
all non-trading book positions that are subject to foreign exchange risk or commodity risk shall be included;
all positions shall be valued at their market values on that date, except for positions referred to in point (b); where the market value of a trading book position is not available on a given date, institutions shall take a fair value for the trading book position on that date; where the fair value and market value of a trading book position are not available on a given date, institutions shall take the most recent market value or fair value for that position;
all non-trading book positions that are subject to foreign exchange risk shall be considered as an overall net foreign exchange position and valued in accordance with Article 352;
all the non-trading book positions that are subject to commodity risk shall be valued in accordance with Articles 357 and 358;
the absolute value of long positions shall be added to the absolute value of short positions.
The exemption from the reporting requirements laid down in Article 430b shall cease to apply within three months of either of the following cases:
the institution does not meet the condition set out in point (a) or (b) of paragraph 1 for three consecutive months; or
the institution does not meet the condition set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months.