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Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - 27 June 2021
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Article 280 Calculation of risk positions

1. An institution shall determine the size and sign of a risk position as follows:

(a) for all instruments other than debt instruments:

(i) as the effective notional value in the case of a transaction with a linear risk profile;

(ii) as the delta equivalent notional value, pref· ∂V/∂p, in the case of a transaction with a non-linear risk profile,

where:

Pref = price of the underlying instrument, expressed in the reference currency;

V = value of the financial instrument (in the case of an option, the value is the option price);

p = price of the underlying instrument, expressed in the same currency as V;

(b) for debt instruments and the payment legs of all transactions:

(i) as the effective notional value multiplied by the modified duration in the case of a transaction with a linear risk profile;

(ii) as the delta equivalent in notional value multiplied by the modified duration, ∂V/∂r, in the case of a transaction with a non-linear risk profile,

where:

V = value of the financial