Article 352 › 1

The institution's net open position in each currency (including the reporting currency) and in gold shall be calculated as the sum of the following elements (positive or negative): (a) the net spot position (i.e. all asset items less all liability items, including accrued interest, in the currency in question or, for gold, the net spot position in gold); (b) the net forward position, which are all amounts to be received less all amounts to be paid under forward exchange and gold transactions, including currency and gold futures and the principal on currency swaps not included in the spot position; (c) irrevocable guarantees and similar instruments that are certain to be called and likely to be irrecoverable; (d) the net delta, or delta-based, equivalent of the total book of foreign-currency and gold options; (e) the market value of other options. The delta used for purposes of point (d) shall be that of the exchange concerned. For OTC options, or where delta is not available from the exchange concerned, the institution may calculate delta itself using an appropriate model, subject to permission by the competent authorities. Permission shall be granted if the model appropriately estimates the rate of change of the option's or warrant's value with respect to small changes in the market price of the underlying. The institution may include net future income/expenses not yet accrued but already fully hedged if it does so consistently. The institution may break down net positions in composite currencies into the component currencies according to the quotas in force.

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