Updated 21/12/2024
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CRR ToolDelegated Regulation 2022/2059
Article 5

Article 5 - Documentation requirements

Article 5

Documentation requirements

Institutions shall have policies and procedures in place setting out how they calculate the actual and hypothetical changes in a trading desk portfolio’s value or in a portfolio’s value in accordance with Articles 1 to 4 of this Regulation. Those policies and procedures shall contain all of the following elements:

(a)

when describing how the actual changes in value of the portfolio concerned are calculated, an outline of the differences between the changes in the end-of-day portfolio values produced by the end-of-day valuation process and the actual changes in the value of the portfolio concerned;

(b)

the fees and commissions and how the exclusion referred to in Article 325bf(4), point (b), of Regulation (EU) No 575/2013 is applied;

(c)

a list of all adjustments, specifying for each adjustment all of the following:

(i)

a description and purpose of the adjustment;

(ii)

the methodology and process used for the calculation of the adjustment;

(iii)

the frequency of the calculation of the adjustment and, where the frequency is less than daily, the reasoning for such frequency;

(iv)

whether the adjustment is sensitive to market risk;

(v)

the sets of positions across which the adjustment is calculated and the reasons for performing the calculation across such sets;

(vi)

whether and how the risk stemming from changes in the adjustment is actively hedged and which trading desk or desks are responsible for such hedging;

(vii)

whether and how the adjustment is taken into account in the actual changes in the value of the portfolio concerned for the purposes of the back-testing referred to in Article 325bf(3) of Regulation (EU) No 575/2013 and the back-testing referred to in Article 325bf(6) of that Regulation;

(viii)

whether and how the adjustment is taken into account in the hypothetical changes in the value of the portfolio concerned for the purposes of Articles 325bf and 325bg of Regulation (EU) No 575/2013, and an outline of how the change in the adjustment is calculated if unchanged positions in the portfolio are assumed.