Article 280 › 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) 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) where: V value of the financial instrument (in the case of an option this is the option price); r interest rate level. If V is denominated in a currency other than the reference currency, the derivative shall be converted into the reference currency by multiplication with the relevant exchange rate.

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