Method for determining whether a non-derivative transaction represents a long or a short position in its main risk driver
Article 2
When determining whether a non-derivative position represents a long or a short position in its main risk driver as referred to in Article 94(3) and Article 325a(2) of Regulation (EU) No 575/2013, institutions shall apply either of the following methods: (a) calculate the delta risk sensitivity of the main risk driver in accordance with Article 325r of Regulation (EU) No 575/2013 and identify the transaction as: (i) a long position in that risk driver where the corresponding delta risk sensitivity is positive; or (ii) a short position in that risk driver where the corresponding delta risk sensitivity is negative; (b) assess the dependence of the value of the position on the main risk driver by considering the trading or hedging purpose of the transaction with respect to that risk driver and identify the transaction as either a long or a short position in its main risk driver on the basis of that assessment.