Tiremane bank's group meets the conditions of the portfolio exception. Its long positions are worth 8,400,000 and its short positions 6,150,000 (at market price), exposed to substantially the same market risks. Applying to the net position the price within the bid-ask spread that is most representative of fair value gives an adjustment of 18,000 (to be deducted, case data). Compute the net position and then its fair value.
- Long positions
- 8,400,000
- Short positions
- 6,150,000
- Adjustment of the net position (to deduct)
- 18,000