11.

Credit institutions may use the following formulae to determine the size and sign of a risk position: for all instruments other than debt instruments: effective notional value, or delta equivalent notional value = p_(ref)(δV / δp) where: P_(ref) = price of the underlying instrument, expressed in the reference currency; V = value of the financial instrument (in the case of an option this is the option price and in the case of a transaction with a linear risk profile this is the value of the underlying instrument itself); p = price of the underlying instrument, expressed in the same currency as V; for debt instruments and the payment legs of all transactions: effective notional value multiplied by the modified duration, or delta equivalent in notional value multiplied by the modified duration δV / δr where: V = value of the financial instrument (in the case of an option this is the option price and in the case of a transaction with a linear risk profile this is the value of the underlying instrument itself or of the payment leg, respectively); r = interest rate level. If V is denominated in a currency other than the reference currency, the derivative must be converted into the reference currency by multiplication with the relevant exchange rate.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.