+Artikel 281 Berechnung des Risikopositionswerts
---+Article 281 1.
---+Article 281 2.
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Artikel 281 Berechnung des Risikopositionswerts
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1. Übersicht
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Regulierung |
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Article 281 1.
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Institutions shall calculate a single exposure value at netting set level in accordance with Section 3, subject to paragraph 2 of this Article.
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Article 281 2.
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The exposure value of a netting set shall be calculated in accordance with the following requirements:
(a)
institutions shall not apply the treatment referred to in Article 274(6);
(b)
by way of derogation from Article 275(1), for netting sets that are not referred to in Article 275(2), institutions shall calculate the replacement cost in accordance with the following formula:
RC = max{CMV, 0}
where:
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RC
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=
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the replacement cost; and
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CMV
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=
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the current market value.
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(c)
by way of derogation from Article 275(2) of this Regulation, for netting sets of transactions: that are traded on a recognised exchange; that are centrally cleared by a central counterparty authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation; or for which collateral is exchanged bilaterally with the counterparty in accordance with Article 11 of Regulation (EU) No 648/2012, institutions shall calculate the replacement cost in accordance with the following formula:
RC = TH + MTA
where:
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RC
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=
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the replacement cost;
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TH
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=
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the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and
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MTA
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=
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the minimum transfer amount applicable to the netting set under the margin agreement;
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(d)
by way of derogation from Article 275(3), for multiple netting sets that are subject to a margin agreement, institutions shall calculate the replacement cost as the sum of the replacement cost of each individual netting set, calculated in accordance with paragraph 1 as if they were not margined;
(e)
all hedging sets shall be established in accordance with Article 277a(1);
(f)
institutions shall set to 1 the multiplier in the formula that is used to calculate the potential future exposure in Article 278(1), as follows:
where:
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PFE
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=
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the potential future exposure; and
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AddOn(a)
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=
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the add-on for risk category a;
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(g)
by way of derogation from Article 279a(1), for all transactions, institutions shall calculate the supervisory delta as follows:
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δ =
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+ 1 where the transaction is a long position in the primary risk driver
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– 1 where the transaction is a short position in the primary risk driver
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where:
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δ
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=
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the supervisory delta;
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(h)
the formula referred to in point (a) of Article 279b(1) that is used to compute the supervisory duration factor shall read as follows:
supervisory duration factor = E – S
where:
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E
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=
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the period between the end date of a transaction and the reporting date; and
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S
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=
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the period between the start date of a transaction and the reporting date;
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(i)
the maturity factor referred to in Article 279c(1) shall be calculated as follows:
(i)
for transactions included in netting sets referred to in Article 275(1), MF = 1;
(ii)
for transactions included in netting sets referred to in Article 275(2) and (3), MF = 0,42;
(j)
the formula referred to in Article 280a(3) that is used to calculate the effective notional amount of hedging set j shall read as follows:
where:
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=
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the effective notional amount of hedging set j; and
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Dj,k
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=
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the effective notional amount of bucket k of hedging set j;
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(k)
the formula referred to in Article 280c(3) that is used to calculate the credit risk category add-on for hedging set j shall read as follows:
where:
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=
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the credit risk category add-on for hedging set j; and
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AddOn(Entityk)
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=
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the add-on for the credit reference entity k;
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(l)
the formula referred to in Article 280d(3) that is used to calculate the equity risk category add-on for hedging set j shall read as follows:
where:
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=
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the equity risk category add-on for hedging set j; and
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AddOn(Entityk)
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=
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the add-on for the credit reference entity k;
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(m)
the formula referred to in Article 280e(4) that is used to calculate the commodity risk category add-on for hedging set j shall read as follows:
where:
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=
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the commodity risk category add-on for hedging set j; and
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=
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the add-on for the commodity reference type k.
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,
1.1 Referenzen
1.2 Identifizierte Anforderungen
1.3 Zugehörige Standards
2. Identifizierte Anforderungen
Anforderungen
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Anforderung |
3. Zugehörige Standards
Standards
| Quelle |
Anforderung |
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