1.   By way of derogation from Articles 4 and 5, institutions may identify the main risk driver of a derivative position as referred to in paragraphs 2 to 17 of this Article and determine whether such position represents a long or a short position in its main risk driver by applying the approaches set out in those paragraphs.

2.   For futures or forwards on stocks or on stock indices, institutions shall identify the main risk driver as the equity spot price or the index spot price, respectively.

The position shall be long in its main risk driver where the futures or forwards are bought, and short where they are sold.

3.   For forward-rate agreements (FRAs) where one counterparty receives floating-rate interest and pays fixed-rate interest, institutions shall identify the main risk driver as the risk-free rate which corresponds to the following:

The position shall be long in its main risk driver where the institution pays fixed-rate interest, and short where the institution receives fixed-rate interest.

4.   For futures or forwards on bonds which consist in fixed-rate or floating-rate debt instruments without optionality features, institutions shall determine whether the bond is bought or sold under the futures or forward contract and, on that basis, identify the main risk driver and determine whether the position represents a long or a short position in its main risk driver by applying the methods set out in Article 3(2) or (3), respectively, to the underlying fixed-rate or floating-rate debt instrument.

5.   For futures or forwards on exchanges between a foreign currency and the institution’s reporting currency, institutions shall identify the main risk driver as the spot exchange rate between the foreign currency and the institution’s reporting currency.

The position shall be long in its main risk driver where the foreign currency is bought, and short where the foreign currency is sold.

6.   For futures or forwards on commodities, institutions shall identify the main risk driver as the commodity spot price which corresponds to the following:

The position shall be long in its main risk driver where the commodities are bought, and short where they are sold.

7.   For plain-vanilla call or put options with a single underlying stock or stock index, institutions shall identify the main risk driver as the equity spot price or the index spot price, respectively.

The position shall be long in its main risk driver where the call option is bought, and short where the call option is sold. The position shall be long where the put option is sold, and short where the put option is bought.

8.   For plain-vanilla call or put options with a single underlying bond which consists in fixed-rate debt instrument, institutions shall identify the main risk driver by applying the method set out in Article 3(2) to the underlying bond.

Where the main risk driver determined in accordance with Article 3(2), points (a), (b) and (c), is the risk-free rate or the issuer credit spread rate, the position shall be short in its main risk driver where the call option is bought, and long where the call option is sold, and the position shall be short where the put option is sold, and long where the put option is bought.

Where the main risk driver determined in accordance with Article 3(2), points (a), (b) and (c), is the inflation rate, the position shall be long in its main risk driver where the call option is bought, and short where the call option is sold, and the position shall be long where the put option is sold and short where the put option is bought.

9.   For plain-vanilla swap options, institutions shall identify the main risk driver by applying the method set out in paragraph 15 to the underlying interest rate swap.

Where the swap option gives the right to enter into an interest rate swap in which the option holder receives floating-rate interest and pays fixed-rate interest, the position shall be long in its main risk driver where the institution has bought the swap option, and short where the institution has sold the swap option.

Where the swap option gives the right to enter into an interest rate swap in which the option holder pays floating-rate interest and receives fixed-rate interest, the position shall be long in its main risk driver where the institution has sold the swap option, and short where the institution has bought the swap option.

10.   For caps and floors, institutions shall identify the main risk driver as the risk-free rate which corresponds to the following:

The position shall be long in its main risk driver where the cap is bought, and short where the cap is sold. The position shall be long in its main risk driver where the floor is sold, and short where the floor is bought.

11.   For plain-vanilla call or put options with a single underlying commodity, institutions shall identify the main risk driver as the commodity spot price which corresponds to the following:

The position shall be long in its main risk driver where the call option is bought, and short where the call option is sold. The position shall be long in its main risk driver where the put option is sold, and short where the put option is bought.

12.   For plain-vanilla currency options, institutions shall identify the main risk driver as the spot exchange rate between the foreign currency and the institution’s reporting currency.

The position shall be long in its main risk driver where the foreign currency is bought, and short where the foreign currency is sold.

13.   For single-name credit default swaps, institutions shall identify the main risk driver as the issuer credit spread rate which corresponds to the following:

The position shall be long in its main risk driver where the protection is bought, and short where the protection is sold.

14.   For index credit default swaps, institutions shall identify the main risk driver as the credit spread rate which corresponds to the following:

The position shall be long in its main risk driver where the protection is bought, and short where the protection is sold.

15.   For interest rate swaps where one counterparty receives floating-rate interest and pays fixed-rate interest, institutions shall identify the main risk driver as the risk-free rate which corresponds to the following:

The position shall be long in its main risk driver where the institution pays fixed-rate interest, and short where the institution receives fixed-rate interest.

16.   For equity swaps where one counterparty receives the return on a stock or stock index and pays fixed-rate or floating-rate interest, institutions shall identify the main risk driver as the equity spot price or the index spot price, respectively.

The position shall be long in its main risk driver where the institution receives the return on the stock or stock index, and short where the institution pays the return on a stock or stock index.

17.   For commodity swaps where one counterparty receives cash flows based on the price of an underlying commodity and pays fixed-rate or floating-rate interest, institutions shall identify the main risk driver as the commodity spot price which corresponds to the following:

The position shall be long in its main risk driver where the institution receives the cash flows based on the price of an underlying commodity, and short where the institution pays the cash flows based on the price of an underlying commodity.