1.   Institutions shall calculate the estimate of the left-tail expected shortfall of a time series X in accordance with the following formula:

where:

—	N is the number of observations in the time series;

—	α = 2,5 %;

—	] denotes the integer part of the product α ×N;

—	denotes the i-th smallest observation in the time series X.

2.   Institutions shall calculate the estimate of the right-tail expected shortfall of a time series X in accordance with the following formula:

where:

—	(  ) is the estimate of left-tail expected shortfall for the time series  calculated in accordance with paragraph 1.