+Article 282 3.

Article 282 3.

The current replacement cost referred to in paragraph 2 shall be calculated as follows:

(a) 

for netting sets of transactions: that are traded on a recognised exchange; 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 use the following formula:

RC = TH + MTA

where:

RC

=

the replacement cost;

TH

=

the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and

MTA

=

the minimum transfer amount applicable to the netting set under the margin agreement;
(b) 

for all other netting sets or individual transactions, institutions shall use the following formula:

RC = max{CMV, 0}

where:

RC

=

the replacement cost; and

CMV

=

the current market value.

In order to calculate the current replacement cost, institutions shall update current market values at least monthly.

1. Übersicht

,

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards