Question
How should back-to-back trades that net off perfectly when calculating the size of their on- and off-balance-sheet business that is subject to market risk be accounted for? Should both positions be considered in absolute value, both the short and the long position, or should they not be included as the positions perfectly offset each other and do not generate capital requirements for market risk?
Background on the question
Article 325a states that all positions subject to market risk must be included in the calculation of the size of their on- and off-balance-sheet business and short and long positions must be added in absolute value