+Article 278 1.
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Article 278 1.
Institutions shall calculate the potential future exposure of a netting set as follows:
where:
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PFE
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=
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the potential future exposure;
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a
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=
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the index that denotes the risk categories included in the calculation of the potential future exposure of the netting set;
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AddOn(a)
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=
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the add-on for risk category a calculated in accordance with Articles 280a to 280f, as applicable; and
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multiplier
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=
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the multiplication factor calculated in accordance with the formula referred to in paragraph 3.
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For the purpose of this calculation, institutions shall include the add-on of a given risk category in the calculation of the potential future exposure of a netting set where at least one transaction of the netting set has been mapped to that risk category.
1. Übersicht
| Bezeichnung |
Regulierung |
,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
| Quelle |
Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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