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Version status: Repealed | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - onwards
  Version 3 of 3    

Annex VII, Part D Inclusion In The Trading Book

Repealed from 1 January 2014

1. Institutions shall have clearly defined policies and procedures for determining which position to include in the trading book for the purposes of calculating their capital requirements, consistent with the criteria set out in Article 11 and taking into account the institution's risk management capabilities and practices. Compliance with these policies and procedures shall be fully documented and subject to periodic internal audit.

2. Institutions shall have clearly defined policies and procedures for overall management of the trading book. At a minimum these policies and procedures shall address:

(a) the activities the institution considers to be trading and as constituting part of the trading book for capital requirement purposes;

(b) the extent to which a position can be marked‑to‑market daily by reference to an active, liquid two-way market;

(c) for positions that are marked‑to‑model, the extent to which the institution can:

(i) identify all material risks of the pos

Comparing proposed amendment...