The institution’s net open position in each currency (including the reporting currency) and in gold is calculated as the sum of: (a) the net spot position; (b) the net forward position, comprising amounts to be received less amounts to be paid under forward exchange and gold transactions, including currency and gold futures and principal on currency swaps not included in spot; (c) irrevocable guarantees and similar instruments certain to be called and likely irrecoverable; (d) the net delta‑equivalent of the total book of foreign‑currency and gold options; and (e) the market value of other options. The exchange delta is to be used; for OTC options or where exchange delta is unavailable an institution may calculate delta using an appropriate model subject to competent authority permission if the model appropriately estimates the option’s rate of change. Institutions may include fully hedged future income/expenses, break down composite currencies by quota and may use net present value consistently.

Net short and long positions in each currency other than the reporting currency and positions in gold shall be converted at spot into the reporting currency, summed separately to form total net short and total net long positions, and the higher of those totals shall be the overall net foreign‑exchange position. Institutions must adequately reflect non‑delta option risks in own funds requirements. The EBA shall develop and submit draft regulatory technical standards by 31 December 2013 defining methods to reflect those other risks proportionate to institutions’ scale and complexity; the Commission is delegated to adopt those standards under Articles 10 to 14 of Regulation (EU) No 1093/2010. Until those standards enter into force, competent authorities may continue national treatments applied before 31 December 2013.