Article 14
Alignment of data for the profit and loss attribution requirements
1. For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions may replace the value of input data for a given risk factor used in the calculation of the theoretical changes in the trading desk portfolio’s value with the value of the input data of the same nature for the same risk factor used in the calculation of the hypothetical changes in the trading desk portfolio’s value, provided either of the following conditions is met:
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(a) |
differences in the input data are due to the fact that the data are sourced from different data providers; |
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(b) |
differences in the input data are due to the fact that the input data are extracted from the market data source at different times during the same business day. |
2. For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions may replace the value of a risk factor used in the calculation of the theoretical changes in the trading desk portfolio’s value with the value of the same risk factor used in the calculation of the hypothetical changes in the trading desk portfolio’s value where all of the following conditions are met:
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(a) |
the risk factor used in the calculation of the hypothetical changes in the trading desk portfolio’s value does not directly correspond to the input data; |
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(b) |
the risk factor has been derived from the input data using techniques of the valuation systems used for the hypothetical changes in the trading desk portfolio’s value; |
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(c) |
none of the techniques of the valuation systems referred to in point (b) have been rebuilt in the valuation systems used in the risk measurement model in order to derive the value of the risk factor which is used in the calculation of the theoretical changes in the trading desk portfolio’s value. |