Article 104 › 2

Institutions shall have in place clearly defined policies and procedures for the overall management of the trading book. These policies and procedures shall at least address: (a) the activities the institution considers to be trading and as constituting part of the trading book for own funds 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 position; (ii) hedge all material risks of the position with instruments for which an active, liquid two-way market exists; (iii) derive reliable estimates for the key assumptions and parameters used in the model; (d) the extent to which the institution can, and is required to, generate valuations for the position that can be validated externally in a consistent manner; (e) the extent to which legal restrictions or other operational requirements would impede the institution's ability to effect a liquidation or hedge of the position in the short term; (f) the extent to which the institution can, and is required to, actively manage the risks of positions within its trading operation; (g) the extent to which the institution may transfer risk or positions between the non-trading and trading books and the criteria for such transfers.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04