+Article 282 4.

Article 282 4.

Institutions shall calculate the potential future exposure referred to in paragraph 2 as follows:

(a) 

the potential future exposure of a netting set is the sum of the potential future exposure of all the transactions included in the netting set, calculated in accordance with point (b);

(b) 

the potential future exposure of a single transaction is its notional amount multiplied by:

(i) 

the product of 0,5 % and the residual maturity of the transaction expressed in years for interest-rate derivative contracts;

(ii) 

the product of 6 % and the residual maturity of the transaction expressed in years for credit derivative contracts;

(iii) 

4 % for foreign-exchange derivatives;

(iv) 

18 % for gold and commodity derivatives other than electricity derivatives;

(v) 

40 % for electricity derivatives;

(vi) 

32 % for equity derivatives;

(c) 

the notional amount referred to in point (b) of this paragraph shall be determined in accordance with Article 279b(2) and (3) for all derivatives listed in that point; in addition, the notional amount of the derivatives referred to in points (b)(iii) to (b)(vi) of this paragraph shall be determined in accordance with points (b) and (c) of Article 279b(1);

(d) 

the potential future exposure of netting sets referred to in point (a) of paragraph 3 shall be multiplied by 0,42.

For calculating the potential exposure of interest-rate derivatives and credit derivatives in accordance with points b(i) and (b)(ii), an institution may choose to use the original maturity instead of the residual maturity of the contracts.

1. Übersicht

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1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards