Article 94 - Derogation for small trading book business
Table of content
Derogation for small trading book business
By way of derogation from point (b) of Article 92(3), institutions may calculate the own funds requirement for their trading-book business in accordance with paragraph 2 of this Article, provided that the size of the institutions' on- and off-balance-sheet trading-book 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:
5 % of the institution's total assets;
EUR 50 million.
Institutions shall calculate the size of their on- and off-balance-sheet trading book business on the basis of data as of the last day of each month for the purposes of paragraph 1 in accordance with the following requirements:
all the positions assigned to the trading book in accordance with Article 104 shall be included in the calculation except for the following:
positions concerning foreign exchange and commodities;
all positions included in the calculation in accordance with point (a) shall be valued at their market value 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;
the absolute value of long positions shall be summed with the absolute value of short positions.
the institution does not meet the conditions set out in point (a) or (b) of paragraph 1 for three consecutive months;
the institution does not meet the conditions set out in point (a) or (b) of paragraph 1 during more than 6 out of the last 12 months.