Article 2
Technical elements to be included in the actual changes in the portfolio’s value for the back-testing requirements performed at institution level
1. For the purposes of the back-testing referred to in Article 325bf(6) of Regulation (EU) No 575/2013, institutions shall calculate the actual changes in a portfolio’s value by using the same techniques, including the same pricing methods, model parametrisations and market data, as those used in the end-of-day valuation process, including the results of the independent price verification referred to in Article 105(8) of Regulation (EU) No 575/2013.
2. When calculating the actual changes in a portfolio’s value, institutions shall reflect the change in the value of that portfolio that are due to the passage of time.
3. When calculating the actual changes in a portfolio’s value, institutions shall include in that value all the adjustments that have been considered in the end-of-day valuation process referred to in paragraph 1 and that are market risk related, with the exception of all of the following adjustments:
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(a) |
credit valuation adjustments reflecting the current market value of the credit risk of counterparties to the institution; |
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(b) |
adjustments attributed to the institution’s own credit risk that have been excluded from own funds in accordance with Article 33(1), point (b) or (c), of Regulation (EU) No 575/2013; |
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(c) |
additional value adjustments deducted from Common Equity Tier 1 capital in accordance with Article 34 of Regulation (EU) No 575/2013. |
4. Institutions shall calculate the change in the value of the adjustments referred to in paragraph 3 on the basis of either of the following:
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(a) |
all positions that are assigned to trading desks for which institutions calculate the own funds requirements for market risk in accordance with the alternative internal model approach set out in Part Three, Title IV, Chapter 1b of Regulation (EU) No 575/2013; |
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(b) |
all positions subject to the own funds requirements for market risk. |
5. Institutions shall include changes in the adjustment’s value only on the date on which the adjustment is calculated.