1. For the purposes of Article 325bg of Regulation (EU) No 575/2013, institutions shall calculate the theoretical changes in a trading desk portfolio value based on a comparison between the portfolio’s end-of-day value and, assuming unchanged positions in the trading desk portfolio, the value of that portfolio at the end of the subsequent day.
2. Institutions shall calculate the theoretical changes in a trading desk portfolio by using the same techniques, including the same pricing methods, model parametrisations and market data as those used in the risk measurement model.
3. Theoretical changes in a trading desk portfolio value shall only include the changes in the value of all risk factors included in the risk-measurement model to which institutions apply the scenarios of future shocks.