council direct eec march capit adequaci invest firm credit institut council european commun regard treati establish european econom commun sentenc articl thereof regard propos commiss cooper european parliament regard opinion econom social committe main object council direct eec invest servic secur field invest firm author compet author home member state supervis author establish branch provid servic freeli member state direct coordin rule govern author pursuit busi invest firm direct establish common standard fund invest firm establish amount initi capit firm establish common framework monitor risk incur firm refer provis commun initi object precis adopt coordin measur field approach adopt effect essenti harmon suffici secur mutual recognit author prudenti supervis system adopt measur coordin definit fund invest firm establish amount initi capit establish common framework monitor risk incur invest firm essenti aspect harmon achiev mutual recognit framework intern financi market establish amount initi capit depend rang activ invest firm author undertak exist invest firm permit condit continu busi compli minimum amount initi capit fix firm member state establish rule stricter provid direct direct form part wider intern effort bring approxim rule forc supervis invest firm credit institut hereinaft refer collect institut common basic standard fund institut kei featur intern market invest servic sector fund serv ensur continu institut protect investor common financi market institut invest firm credit institut engag direct competit desir achiev equal treatment credit institut invest firm credit institut common standard establish supervis monitor credit risk council direct eec decemb solvenc ratio credit institut develop common standard market risk incur credit institut provid complementari framework supervis risk incur institut market risk posit risk counterparti settlement risk foreign exchang risk introduc concept trade book compris posit secur financi instrument held trade purpos subject market risk exposur relat financi servic provid custom desir institut neglig trade book busi absolut rel term appli direct eec requir impos annex ii direct import monitor settlement deliveri risk account exist system offer adequ protect reduc risk case institut compli direct coverag foreign exchang risk busi lower capit requir impos posit close correl currenc statist confirm aris bind intergovernment agreement view creation european monetari union exist institut intern system monitor control interest rate risk busi import minim risk system subject overview compet author council direct eec decemb monitor control larg exposur credit institut aim establish common rule monitor larg exposur activ princip subject market risk direct make refer commun initi intend adopt requisit coordin method field adopt common rule monitor control larg exposur incur invest firm fund credit institut defin council direct eec april fund credit institut basi definit fund institut definit reason purpos direct definit fund institut differ aforement direct order account characterist activ carri institut involv market risk council direct eec april supervis credit institut consolid basi state principl consolid establish common rule consolid financi institut involv activ princip subject market risk direct make refer commun initi intend adopt coordin measur field direct eec appli group includ invest firm credit institut felt desir provid common framework introduct supervis invest firm consolid basi technic adapt detail rule laid direct time time account develop invest servic field commiss propos adapt council stage adopt provis adapt direct technic progress accord council decis eec juli lai procedur exercis implement power confer commiss council propos commiss carri adapt provis made review direct year date applic light experi develop financi market work intern fora regulatori author review includ review list area subject technic adjust direct direct eec invest servic secur field close interrel entri forc date lead distort competit adopt direct articl member state appli requir direct invest firm credit institut defin articl member state impos addit stringent requir invest firm credit institut author definit articl purpos direct credit institut institut satisfi definit indent articl council direct eec decemb coordin law regul administr provis relat take pursuit busi credit institut subject requir impos direct eec invest firm institut satisfi definit point articl direct eec subject requir impos direct exclud credit institut local firm defin firm receiv transmit order investor hold monei secur belong client reason time place debit client institut credit institut invest firm recogn countri invest firm firm establish commun cover definit invest firm author countri subject compli prudenti rule consid compet author stringent laid direct financi instrument instrument list section annex direct eec trade book institut consist proprietari posit financi instrument held resal institut intent benefit short term actual expect differ bui sell price price interest rate variat posit financi instrument aris match princip broke posit order hedg element trade book exposur due unsettl transact free deliveri counter otc deriv instrument refer paragraph annex ii exposur due repurchas agreement secur lend base secur includ trade book defin refer paragraph annex ii exposur due revers repurchas agreement secur borrow transact paragraph provid compet author approv meet condit ii iii condit iv exposur mark market daili procedur laid annex ii ii collater adjust order account materi secur involv agreement transact question rule accept compet author iii agreement transact claim institut automat immedi offset claim counter parti event default iv agreement transact question interprofession agreement transact confin accept artifici transact short term natur exclud exposur form fee commiss interest dividend margin exchang trade deriv directli relat item includ trade book refer paragraph annex ii item includ exclud trade book accord object procedur includ account standard institut concern procedur consist implement subject review compet author parent undertak subsidiari undertak financi institut defin accord articl direct eec financi hold compani financi institut subsidiari undertak exclus credit institut invest firm financi institut credit institut invest firm risk weight degre credit risk applic relev counter parti direct eec asset constitut claim exposur invest firm recogn countri invest firm exposur incur recogn clear hous exchang assign weight assign relev counterparti credit institut counter otc deriv instrument interest rate foreign exchang contract refer annex ii direct eec balanc sheet contract base equiti provid contract trade recogn exchang subject daili margin requir case foreign exchang contract contract origin matur calendar dai regul market market satisfi definit articl direct eec qualifi item long short posit asset refer articl direct eec debt instrument issu invest firm recogn countri invest firm long short posit debt instrument provid instrument meet condit instrument firstli list regul market member state stock exchang countri provid exchang recogn compet author relev member state consid institut concern suffici liquid solvenc issuer subject degre default risk compar lower asset refer articl direct eec manner instrument assess subject scrutini compet author overturn judgment institut instrument concern subject high degre default risk qualifi item notwithstand forego pend coordin compet author discret recogn qualifi item instrument suffici liquid solvenc issuer subject degre default risk compar lower asset refer articl direct eec default risk instrument evalu level credit rate agenc recogn compet author credit rate agenc long rate level credit rate agenc recogn compet author compet author waiv condit impos preced sentenc judg inappropri light characterist market issuer issu combin characterist compet author requir institut appli maximum weight shown tabl paragraph annex instrument show risk insuffici solvenc issuer liquid compet author member state regularli provid council commiss inform method evalu qualifi item method assess degre liquid issu solvenc issuer central govern item long short posit asset refer articl direct eec assign weight articl direct convert secur option holder exchang secur equiti issuer warrant instrument holder purchas number share common stock bond stipul price warrant expiri date settl deliveri secur equival cash cover warrant instrument issu entiti issuer underli instrument holder purchas number share common stock bond stipul price secur profit avoid loss refer fluctuat index relat financi instrument list section annex direct eec warrant expiri date repurchas agreement revers repurchas agreement agreement institut counter parti transfer secur guarante right relat titl secur guarante issu recogn exchang hold right secur agreement institut transfer pledg secur counter parti time subject commit repurchas substitut secur descript price futur date transferor repurchas agreement institut sell secur revers repurchas agreement institut bui revers repurchas agreement consid interprofession transact counter parti subject prudenti coordin commun level zone credit institut defin direct eec recogn countri invest firm agreement conclud recogn clear hous exchang secur lend secur borrow transact institut counter parti transfer secur collater subject commit borrow return equival secur futur date request transferor secur lend institut transfer secur secur borrow institut transfer secur borrow consid interprofession transact counterparti subject prudenti coordin commun level zone credit institut defin direct eec recogn countri invest firm transact conclud recogn clear hous exchang clear member member exchang clear hous direct contractu relationship central counterparti market guarantor clear member trade rout clear member local firm firm deal account financi futur option exchang account make price member exchang guarante clear member exchang respons ensur perform contract enter firm assum clear member exchang contract account calcul clear member capit requir long local firm posit separ clear member delta expect chang option price proport small chang price instrument underli option purpos paragraph annex long posit posit institut fix interest rate receiv time futur short posit posit fix interest rate pai time futur fund fund defin direct eec definit amend circumst annex initi capit item articl direct eec origin fund sum item sum item articl direct eec capit fund modifi durat calcul formula set paragraph annex initi capit articl invest firm hold client monei secur offer servic initi capit ecu recept transmiss investor order financi instrument execut investor order financi instrument manag individu portfolio invest financi instrument provid deal financi instrument account underwrit issu financi instrument firm commit basi hold trade book posit financi instrument order invest fund consid deal purpos set paragraph purpos paragraph compet author invest firm execut investor order financi instrument hold instrument account posit aris result firm failur match investor order precis total market posit subject ceil firm initi capit firm meet requir impos articl posit incident provision natur strictli limit time requir carri transact question member state reduc amount refer paragraph ecu firm author hold client monei secur deal account underwrit issu firm commit basi invest firm initi capit ecu firm refer indent articl initi capit ecu benefit freedom establish provid servic articl direct eec notwithstand paragraph member state continu author invest firm firm cover paragraph exist direct appli fund initi capit level paragraph fund firm fall highest refer level calcul date notif direct refer level averag daili level fund calcul month period preced date calcul calcul month respect preced period control firm cover paragraph natur legal person person control previous fund firm attain level paragraph situat case transfer inherit applic direct subject compet author approv year transfer ii case chang composit partnership long partner date applic direct remain partnership year date applic direct specif circumst consent compet author event merger invest firm firm cover paragraph fund firm produc merger attain level paragraph period level paragraph attain fund firm fall merg firm total fund time merger fund invest firm firm cover paragraph fall level paragraph compet author circumst justifi firm limit period rectifi situat ceas activ provis risk articl compet author requir institut provid fund equal sum capit requir calcul accord annex ii vi trade book busi ii capit requir calcul accord annex iii busi activ iii capit requir impos direct eec busi activ exclud trade book busi illiquid asset deduct fund paragraph annex iv capit requir impos paragraph irrespect amount capit requir refer iv fund requir invest firm amount prescrib annex iv compet author requir institut cover risk aris connect busi scope direct direct eec consid similar risk cover direct adequ fund fund held institut fall amount fund requir impos paragraph compet author ensur institut question take measur rectifi situat quickli compet author requir institut set system monitor control interest rate risk busi system subject overview compet author institut requir satisfi compet author emploi system calcul financi posit reason accuraci time notwithstand paragraph compet author institut calcul capit requir trade book busi accord direct eec accord annex ii direct provid trade book busi institut exce total busi ii total trade book posit exce ecu million iii trade book busi institut exce total busi total trade book posit exce ecu million order calcul proport trade book busi bear total busi paragraph iii compet author refer size combin balanc sheet busi profit loss account fund institut question combin measur size balanc sheet busi assess debt instrument valu market price princip valu equiti market price deriv nomin market valu instrument underli long posit short posit sum sign institut happen short period exce limit impos paragraph ii exce limit impos paragraph iii requir meet requir impos articl direct eec respect trade book busi notifi compet author monitor control larg exposur articl institut monitor control larg exposur accord direct eec notwithstand paragraph institut calcul capit requir trade book busi accord annex ii monitor control larg exposur accord direct eec subject modif laid annex vi direct valuat posit report purpos articl institut mark market trade book daili basi subject articl absenc readili market price case deal issu primari market compet author waiv requir impos paragraph requir institut altern method valuat provid method suffici prudent approv compet author supervis consolid basi articl gener principl capit requir impos articl institut parent undertak subsidiari undertak appli solo basi requir impos articl institut credit institut mean direct eec invest firm financi institut subsidiari hold particip entiti institut parent undertak financi hold compani appli consolid basi accord method laid abovement direct paragraph articl group cover paragraph includ credit institut direct eec appli subject adapt financi hold compani financi institut subsidiari undertak exclus invest firm financi institut invest firm mix activ hold compani parent undertak financi hold compani invest firm subsidiari includ invest firm compet author nation author empow law regul supervis invest firm refer credit institut replac refer invest firm subparagraph articl direct eec appli articl direct eec refer direct eec replac refer direct eec purpos articl direct eec refer bank advisori committe substitut refer council commiss sentenc articl direct eec replac invest firm financi hold compani mix activ hold compani control subsidiari insur compani compet author author entrust public task supervis insur undertak cooper close compet author requir mandat exercis supervis group cover paragraph consolid basi pend coordin supervis group consolid basi circumst justifi waiv oblig provid invest firm group definit fund paragraph annex ii meet requir impos articl solo basi iii set system monitor control sourc capit fund financi institut group compet author requir invest firm group grant waiver provid paragraph notifi risk includ composit sourc capit fund undermin financi posit compet author financi posit invest firm adequ protect requir measur includ limit transfer capit firm group entiti compet author waiv oblig supervis consolid basi provid paragraph measur monitor risk larg exposur group includ undertak locat member state member state waiv applic requir impos articl individu subconsolid basi institut parent undertak subject supervis consolid basi subsidiari institut subject author supervis includ supervis consolid basi institut parent compani waiver grant parent undertak financi hold compani head offic member state institut provid subject supervis exercis credit institut invest firm requir impos articl case waiver exercis measur ensur satisfactori alloc fund group institut parent undertak institut author situat member state compet author grant author appli rule laid articl institut individu subconsolid basi notwithstand paragraph compet author respons author subsidiari parent undertak institut bilater agreement deleg respons supervis subsidiari capit adequaci larg exposur compet author author supervis parent undertak commiss inform exist content agreement forward inform compet author member state bank advisori committe council case group cover paragraph calcul consolid requir right waiver provid paragraph exercis compet author purpos calcul capit requir set annex exposur client set annex vi consolid basi permit net posit trade book institut offset posit trade book institut rule set annex vi addit foreign exchang posit subject annex iii institut offset foreign exchang posit subjet annex iii institut accord rule set annex iii compet author permit offset trade book foreign exchang posit undertak locat countri subject simultan fulfil condit undertak author countri satisfi definit credit institut indent articl direct eec recogn countri invest firm ii undertak compli solo basi capit adequaci rule equival laid direct iii regul exist countri question significantli affect transfer fund group compet author offset provid paragraph institut group author member state question provid satisfactori alloc capit group ii regulatori legal contractu framework institut oper guarante mutual financi support group compet author offset provid paragraph institut group fulfil condit impos paragraph institut includ group author member state provid institut oblig fulfil capit requir impos articl solo basi definit consolid fund calcul fund consolid basi articl direct eec appli compet author respons exercis supervis consolid basi recogn valid specif fund definit applic institut concern annex calcul consolid fund report requir articl member state requir invest firm credit institut provid compet author home member state inform assess complianc rule adopt accord direct member state ensur institut intern control mechan administr account procedur permit verif complianc rule time invest firm oblig report compet author manner month case firm cover articl month case firm cover articl month case firm cover articl notwithstand paragraph invest firm cover articl requir provid inform consolid subconsolid basi month credit institut oblig report manner compet author oblig report direct eec compet author oblig institut report immedi case counterparti repurchas revers repurchas agreement secur lend secur borrow transact default oblig commiss report council case implic treatment agreement transact direct year date refer articl report describ institut meet condit articl appli refer condit give detail rel volum institut tradit lend lend revers repurchas agreement secur borrow transact commiss conclud basi report inform safeguard need prevent abus make propos compet author articl member state design author carri duti provid direct inform commiss thereof indic divis duti author refer paragraph public author bodi offici recogn nation law public author part supervisori system oper member state concern author concern grant power perform task overse constitut trade book compet author member state collabor close perform duti provid direct invest servic provid servic basi establish branch member state request suppli inform facilit supervis capit adequaci invest firm credit institut verif complianc rule laid direct exchang inform compet author provid direct respect invest firm subject oblig profession secreci impos articl direct eec credit institut oblig impos articl direct eec amend direct eec articl pend adopt direct lai provis adapt direct technic progress area council act qualifi major propos commiss accord decis eec adopt adapt clarif definit articl order ensur uniform applic direct commun clarif definit articl account develop financi market alter amount initi capit prescrib articl amount refer articl account develop econom monetari field align terminolog frame definit accord subsequ act institut relat matter transit provis articl member state author invest firm subject articl direct eec fund dai applic direct lower level articl direct fund invest firm fulfil condit laid articl direct notwithstand paragraph annex member state set specif risk requir bond assign weight articl direct eec equal half specif risk requir qualifi item residu matur bond final provis articl member state bring forc law regul administr provis compli direct date fix paragraph articl direct eec forthwith inform commiss thereof member state adopt provis includ refer direct add refer occas offici public manner refer made laid member state member state commun commiss main provis nation law adopt field cover direct articl commiss submit council propos capit requir respect commod trade commod deriv unit collect invest undertak council decid commiss propos month date applic direct review claus articl year date refer articl act propos commiss council examin revis direct light experi acquir appli take account market innov develop intern fora regulatori author articl direct address member state brussel march council presid jelv oj oj oj oj oj page offici journal oj direct amend direct eec oj oj oj direct amend direct eec oj oj oj oj direct amend direct eec oj annex posit risk introduct net excess institut long short posit short long posit equiti debt convert issu ident financi futur option warrant cover warrant net posit instrument calcul net posit compet author posit deriv instrument treat laid paragraph posit underli notion secur secur institut hold debt instrument disregard calcul specif risk paragraph net allow convert offset posit instrument underli compet author adopt approach likelihood convert convert account capit requir cover loss convers entail net posit irrespect sign convert daili basi institut report currenc prevail spot exchang rate aggreg instrument interest rate futur forward rate agreement fra forward commit bui sell debt instrument treat combin long short posit long interest rate futur posit treat combin borrow matur deliveri date futur contract hold asset matur date equal instrument notion posit underli futur contract question similarli sold fra treat long posit matur date equal settlement date contract period short posit matur equal settlement date borrow asset hold includ central govern column tabl paragraph order calcul capit requir specif risk interest rate futur fra forward commit bui debt instrument treat combin borrow matur deliveri date long spot posit debt instrument borrow includ central govern column tabl purpos specif risk debt instrument whichev column tabl compet author capit requir exchang trade futur equal margin requir exchang fulli satisfi accur measur risk futur method calcul margin equival method calcul set remaind annex option interest rate debt instrument equiti equiti indic financi futur swap foreign currenc treat posit equal amount underli instrument option refer multipli delta purpos annex posit net offset posit ident underli secur deriv delta exchang concern calcul compet author otc option calcul institut subject compet author satisfi model institut reason compet author prescrib institut calcul delta methodolog compet author compet author requir risk dealt risk option safeguard compet author requir written exchang trade option equal margin requir exchang fulli satisfi accur measur risk option method calcul margin equival method calcul set remaind annex option addit requir bought exchang trade otc option instrument underli subject constraint result requir exce market option requir written otc option set relat instrument underli warrant cover warrant treat option paragraph swap treat interest rate risk purpos basi balanc sheet instrument interest rate swap institut receiv float rate interest pai fix rate interest treat equival long posit float rate instrument matur equival period interest fix short posit fix rate instrument matur swap institut mark market manag interest rate risk deriv instrument cover paragraph discount cash flow basi sensit model calcul posit refer bond amort residu life final repay princip model institut approv compet author model gener posit sensit interest rate underli cash flow sensit assess refer independ movement sampl rate yield curv sensit point matur band set tabl paragraph posit includ calcul capit requir provis laid paragraph institut model paragraph approv compet author treat fulli offset posit deriv instrument cover paragraph meet condit posit denomin currenc ii refer rate float rate posit coupon fix rate posit close match iii interest fix date fix coupon posit residu matur correspond limit month dai month year dai year dai transferor secur guarante right relat titl secur repurchas agreement lender secur secur lend includ secur calcul capit requir annex provid secur meet criteria laid articl posit unit collect invest undertak subject capit requir direct eec posit risk requir annex specif gener risk posit risk trade debt instrument equiti debt equiti deriv divid compon order calcul capit requir specif risk compon risk price chang instrument concern due factor relat issuer case deriv issuer underli instrument compon cover gener risk risk price chang instrument due case trade debt instrument debt deriv chang level interest rate case equiti equiti deriv broad equiti market movement unrel specif attribut individu secur trade debt instrument institut classifi net posit currenc denomin calcul capit requir gener specif risk individu currenc separ specif risk institut assign net posit calcul accord paragraph categori tabl basi residu matur multipli weight shown sum weight posit long short order calcul capit requir specif risk tabl oj gener risk matur base procedur calcul capit requir gener risk involv basic step posit weight matur explain paragraph order comput amount capit requir allow made requir reduc weight posit held alongsid opposit weight posit matur band reduct requir allow opposit weight posit fall matur band size reduct depend posit fall zone zone fall zone group matur band altogeth institut assign net posit matur band column tabl appear paragraph basi residu matur case fix rate instrument basi period interest rate set case instrument interest rate variabl final matur distinguish debt instrument coupon coupon alloc column column tabl multipli weigh matur band question column tabl work sum weight long posit sum weight short posit matur band amount match matur band match weight posit band residu long short posit unmatch weight posit band total match weight posit band calcul institut comput total unmatch weight long posit band includ zone tabl order deriv unmatch weight long posit zone similarli sum unmatch weight short posit band zone sum comput unmatch weight short posit zone part unmatch weight long posit zone match unmatch weight short posit zone match weight posit zone part unmatch weight long unmatch weight short posit zone match unmatch weight posit zone tabl oj amount unmatch weitht long short posit zone match unmatch weight short long posit zone comput refer paragraph match weight posit zone calcul undertaken regard part unmatch weight posit zone left unmatch weight posit zone order calcul match weight posit zone institut wish revers order paragraph calcul match weight posit zone work zone remaind unmatch weight posit zone match remain zone match zone order deriv match weight posit zone residu posit separ match calcul paragraph sum institut capit requir calcul sum sum match weight posit matur band match weight posit zone match weight posit zone match weight posit zone match weight posit zone zone paragraph match weight posit zone residu unmatch weight posit durat base compet author member state institut gener individu basi system calcul capit requir gener risk trade debt instrument reflect durat system set paragraph provid institut consist basi system institut market fix rate debt instrument calcul yield matur impli discount rate instrument case float rate instrument institut market instrument calcul yield assumpt princip due interest rate chang institut calcul modifi durat debt instrument basi formula yield matur paragraph ct cash payment time total matur paragraph institut alloc debt instrument zone tabl basi modifi durat instrument tabl oj institut calcul durat weight posit instrument multipli market price modifi durat assum interest rate chang instrument modifi durat column tabl institut work durat weight long durat weight short posit zone amount match zone match durat weight posit zone institut calcul unmatch durat weight posit zone follow procedur laid unmatch weight posit paragraph institut capit requir calcul sum match durat weight posit zone match durat weight posit zone zone match durat weight posit zone residu unmatch durat weight posit equiti institut sum net long posit net short posit accord paragraph sum figur gross posit differ net posit specif risk multipli gross posit order calcul capit requir specif risk notwithstand paragraph compet author capit requir specif risk portfolio equiti institut hold meet condit equiti issuer issu trade debt instrument attract requir tabl appear paragraph ii equiti adjudg highli liquid compet author object criteria iii individu posit compris institut equiti portfolio compet author author individu posit provid total posit exce portfolio gener risk capit requir gener risk net posit multipli stock index futur stock index futur delta weight equival option stock index futur stock indic collect refer stock index futur broken posit constitu equiti posit treat underli posit equiti question subject approv compet author net opposit posit underli equiti compet author ensur institut net posit equiti constitut stock index futur posit stock index futur adequ capit cover risk loss caus futur valu move fulli line constitu equiti institut hold opposit posit stock index futur ident respect matur composit notwithstand paragraph stock index futur exchang trade opinion compet author repres broadli diversifi indic attract capit requir gener risk capit requir specif risk stock index futur includ calcul net posit paragraph disregard calcul gross posit paragraph stock index futur broken underli posit treat individu equiti specif risk individu equiti stock index futur question exchang trade opinion compet author repres broadli diversifi index underwrit case underwrit debt equiti instrument compet author institut procedur calcul capit requir firstli calcul net posit deduct underwrit posit subscrib underwritten parti basi formal agreement reduc net posit reduct factor work dai work dai work dai work dai work dai work dai work dai work dai institut uncondition commit accept quantiti secur agre price thirdli calcul capit requir reduc underwrit posit compet author ensur institut hold suffici capit risk loss exist time initi commit work dai annex ii settlement counter parti risk settlement deliveri risk case transact debt instrument equiti exclud repurchas revers repurchas agreement secur lend secur borrow unsettl due deliveri date institut calcul price differ expos differ agre settlement price debt instrument equiti question current market differ involv loss institut multipli differ factor column tabl appear paragraph order calcul capit requir notwithstand paragraph institut discret compet author calcul capit requir multipli agre settel price transact unsettl work dai due date factor column tabl work dai due date requir price differ expos column counter parti risk free deliveri institut requir hold capit counter parti risk paid secur receiv deliv secur receiv payment ii case cross border transact dai elaps made payment deliveri capit requir secur cash ow institut multipli risk weight applic relev counter parti repurchas revers repurchas agreement secur lend borrow case repurchas agreement secur lend base secur includ trade book institut calcul differ market secur amount borrow institut market collater differ posit case revers repurchas agreement secur borrow institut calcul differ amount institut lent market collater market secur receiv differ posit compet author measur ensur excess collater accept compet author institut includ amount excess collater calcul sentenc paragraph amount excess collater guarante transferor assur excess collater return event default counter parti accru interest includ calcul market amount lent borrow collater capit requir figur produc accord paragraph multipli risk weight applic relev counter parti otc deriv instrument order calcul capit requir otc deriv instrument institut appli annex ii direct eec case interest rate exchang rate contract bought otc equiti option cover warrant subject treatment accord exchang rate contract annex ii direct eec risk weight appli relev counter parti determin accord articl direct capit requir direct eec appli exposur form fee commiss interest dividend margin exchang trade futur option contract cover annex annex deduct fund paragraph annex directli relat item includ trade book risk weight appli relev counter parti determin accord articl direct annex iii foreign exchang risk institut net foreign exchang posit calcul accord procedur set exce total fund multipli excess order calcul fund requir foreign exchang risk stage calcul firstli institut net open posit currenc includ report currenc calcul posit consist sum element posit neg net spot posit asset item liabil item includ accru interest currenc question net forward posit amount receiv amount paid forward exchang transact includ currenc futur princip currenc swap includ spot posit irrevoc guarante similar instrument call net futur incom expens accru fulli hedg discret report institut prior consent compet author net futur incom expens enter account record fulli hedg forward foreign exchang transact includ discret exercis consist basi net delta delta base equival total book foreign currenc option market foreign currenc option posit institut deliber order hedg advers effect exchang rate capit ratio exclud calcul net open currenc posit posit trade structur natur exclus variat term exclus requir consent compet author treatment subject condit appli posit institut relat item deduct calcul fund compet author discret institut net present calcul net open posit currenc net short long posit currenc report currenc convert spot rate report currenc sum separ form total net short posit total net long posit higher total institut net foreign exchang posit notwithstand paragraph pend coordin compet author prescrib institut altern procedur purpos annex firstli compet author institut provid lower capit requir posit close correl currenc result appli paragraph compet author deem pair currenc close correl likelihood loss calcul basi daili exchang rate data preced year occur equal opposit posit currenc work dai match posit question valu term report currenc probabl observ period year observ period year fund requir match posit close correl currenc multipli match posit capit requir unmatch posit close correl currenc posit currenc multipli higher sum net short net long posit currenc remov match posit close correl currenc compet author institut appli altern method outlin paragraph purpos annex capit requir produc method suffici exce loss occur roll work dai period preced year altern roll work dai period preced year institut begun period current posit ii basi analysi exchang rate movement roll work dai period preced year exce loss work dai hold period time altern exce loss time analysi exchang rate movement cover preced year iii irrespect size ii exce net open posit measur paragraph thirdli compet author institut remov posit currenc subject legal bind intergovernment agreement limit variat rel currenc cover agreement whichev method paragraph appli institut calcul match posit currenc subject capit requir lower half maximum permiss variat laid intergovernment agreement question respect currenc concern unmatch posit currenc treat currenc notwithstand paragraph compet author capit requir match posit currenc member state particip stage european monetari union multipli match posit compet author notifi council commiss method prescrib allow respect paragraph commiss report council method refer paragraph due regard intern develop propos harmon treatment foreign exchang risk net posit composit currenc broken compon currenc quota forc annex iv risk invest firm requir hold fund equival quarter preced year fix overhead compet author adjust requir event materi chang firm busi preced year firm complet year busi includ dai start requir quarter fix overhead figur project busi plan adjust plan requir author annex fund fund invest firm credit institut defin accord direct eec purpos direct invest firm legal form refer articl fourth council direct eec juli base articl treati annual account type compani deem fall scope council direct eec decemb annual account consolid account bank financi institut notwithstand paragraph compet author permit institut oblig meet fund requir laid annex ii iii iv vi altern definit meet requir part fund provid simultan meet fund requir altern definit includ item item deduct item left discret compet author fund defin direct eec exclud item articl direct invest firm requir deduct item paragraph total item paragraph institut net trade book profit net forese charg dividend net loss busi provid amount includ item paragraph item articl direct eec subordin loan capit item refer paragraph subject condit set paragraph illiquid asset defin paragraph subordin loan capit refer paragraph initi matur year fulli paid loan agreement includ claus provid circumst wind institut debt repay agre repay date compet author approv repay princip interest subordin loan capit repaid repay fund institut question amount institut requir addit institut notifi compet author repay subordin loan capit fund fall requir subordin loan capit refer paragraph exce maximum origin fund left meet requir laid annex ii iii iv vi approach maximum circumst accept relev author compet author permit institut replac subordin loan capit refer paragraph item articl direct eec compet author permit invest firm exce ceil subordin loan capit prescrib paragraph judg prudenti adequ provid total subordin loan capit item refer paragraph exce origin fund left meet requir impos annex ii iii iv vi amount invest firm deduct item refer paragraph calcul fund compet author permit ceil subordin loan capit prescrib paragraph exceed credit institut judg prudenti adequ provid total subordin loan capit item refer paragraph exce origin fund left meet requir impos annex ii iii vi illiquid asset includ tangibl fix asset extent land build allow count loan secur hold includ subordin claim credit financi institut includ fund institut deduct item articl direct eec paragraph iv annex share credit financi institut held temporarili purpos financi assist oper design reorgan save institut compet author waiv provis waiv respect share includ invest firm trade book hold invest undertak credit institut financi institut readili market defici subsidiari deposit made repay dai exclud payment connect margin futur option contract loan amount due due repaid dai physic stock subject capit requir impos articl provid requir stringent impos articl iii invest firm includ group subject waiver articl calcul fund accord paragraph subject modif illiquid asset refer paragraph deduct ii exclus refer paragraph cover compon item articl direct eec invest firm hold respect undertak includ scope consolid defin articl direct iii limit refer articl direct eec calcul refer origin fund compon item articl direct eec ii element origin fund undertak question iv compon item articl direct eec refer iii deduct origin fund total item prescrib articl direct purpos paragraph annex oj direct amend direct eec oj oj annex vi larg exposur institut refer articl monitor control exposur individu client group connect client defin direct eec subject modif exposur individu client aris trade book calcul sum item ii iii excess posit institut long posit short posit financi instrument issu client question net posit instrument calcul method laid annex ii case underwrit debt equiti instrument institut exposur net exposur calcul deduct underwrit posit subscrib underwritten parti basi formal agreement reduc factor set paragraph annex pend coordin compet author requir institut set system monitor control underwrit exposur time initi commit work dai light natur risk incur market question iii exposur due transact agreement contract refer annex ii client question exposur calcul manner laid annex applic weight counter parti risk exposur group connect client trade book calcul sum exposur individu client group calcul paragraph exposur individu client group connect client calcul sum exposur aris trade book exposur aris trade book take account articl direct eec order calcul exposur trade book institut exposur aris asset deduct fund virtu paragraph annex institut exposur individu client group connect client calcul accord paragraph report accord articl direct eec sum exposur individu client group connect client limit accord articl direct eec subject transit provis articl direct notwithstand paragraph compet author asset constitut claim exposur invest firm recogn countri invest firm recogn clear hous exchang financi instrument subject treatment accord credit institut articl direct eec compet author author limit laid articl direct eec exceed subject condit met simultan exposur trade book client group client question exce limit laid direct eec calcul refer fund defin direct eec excess aris trade book firm meet addit capit requir excess respect limit laid articl direct eec calcul select compon total trade exposur client group client question attract highest specif risk requir annex requir annex ii sum equal amount excess refer excess persist dai addit capit requir requir refer previou sentenc compon dai excess occur compon excess select accord criteria alloc line column tabl ascend order specif risk requir annex requir annex ii institut meet addit capit requir equal sum specif risk requir annex annex ii requir compon multipli factor column tabl oj dai elaps excess occur trade book exposur client group connect client question exce institut fund excess persist dai aggreg exce institut fund institut report compet author month case limit laid articl direct eec exceed preced month case limit exceed amount excess client concern report compet author establish procedur notifi council commiss prevent institut deliber avoid addit capit requir incur exposur exceed limit laid articl direct eec exposur maintain dai mean temporarili transfer exposur question compani group undertak artifici transact close exposur dai period creat exposur institut maintain system ensur transfer effect immedi report compet author compet author permit institut allow altern definit fund paragraph annex definit purpos paragraph annex provid institut concern requir addit meet oblig set articl direct eec respect exposur aris trade book fund defin direct eec