Version status: Amended | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
  Version 5 of 5    

Article 390 Calculation of the exposure value

1.The total exposures to a group of connected clients shall be calculated by adding together the exposures to individual clients in that group.

2.The overall exposures to individual clients shall be calculated by adding the exposures in the trading book and the exposures in the non-trading book.

3. For exposures in the trading book, institutions may:

(a) offset their long positions and short positions in the same financial instruments issued by a given client, with the net position in each of the different instruments being calculated in accordance with the methods laid down in Chapter 2 of Title IV of Part Three;

(b) offset their long positions and short positions in different financial instruments issued by a given client, but only where the financial instrument underlying the short position is junior to the financial instrument underlying the long position or where the underlying instruments are of the same seniority.

For the purposes of points (a) and (b), financial instruments may