+CHAPTER 6 Counterparty credit risk
---+Section 1 Definitions
------+Article 271 Determination of the exposure value
---------+Article 271 1.
---------+Article 271 2.
------+Article 272 Definitions
---+Section 2 Methods for calculating the exposure value
------+Article 273 Methods for calculating the exposure value
---------+Article 273 1.
---------+Article 273 2.
---------+Article 273 3.
---------+Article 273 4.
---------+Article 273 5.
---------+Article 273 6.
---------+Article 273 7.
---------+Article 273 8.
---------+Article 273 9.
------+Article 273a Conditions for using simplified methods for calculating the exposure value
---------+Article 273a 1.
---------+Article 273a 2.
---------+Article 273a 3.
---------+Article 273a 4.
---------+Article 273a 5.
---------+Article 273a 6.
------+Article 273b Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives and the simplified approach for calculating the own funds requirements for CVA risk
---------+Article 273b 1.
---------+Article 273b 2.
---------+Article 273b 3.
---+Section 3 Standardised approach for counterparty credit risk
------+Article 274 Exposure value
---------+Article 274 1.
---------+Article 274 2.
---------+Article 274 3.
---------+Article 274 4.
---------+Article 274 5.
---------+Article 274 6.
---------+Article 274 7.
------+Article 275 Replacement cost
---------+Article 275 1.
---------+Article 275 2.
---------+Article 275 3.
------+Article 276 Recognition and treatment of collateral
---------+Article 276 1.
---------+Article 276 2.
---------+Article 276 3.
------+Article 277 Mapping of transactions to risk categories
---------+Article 277 1.
---------+Article 277 2.
---------+Article 277 3.
---------+Article 277 4.
---------+Article 277 5.
------+Article 277a Hedging sets
---------+Article 277a 1.
---------+Article 277a 2.
---------+Article 277a 3.
------+Article 278 Potential future exposure
---------+Article 278 1.
---------+Article 278 2.
---------+Article 278 3.
------+Article 279 Calculation of the risk position
------+Article 279a Supervisory delta
---------+Article 279a 1.
---------+Article 279a 2.
---------+Article 279a 3.
------+Article 279b Adjusted notional amount
---------+Article 279b 1.
---------+Article 279b 2.
---------+Article 279b 3.
------+Article 279c Maturity Factor
---------+Article 279c 1.
---------+Article 279c 2.
------+Article 280 Hedging set supervisory factor coefficient
------+Article 280a Interest rate risk category add-on
---------+Article 280a 1.
---------+Article 280a 2.
---------+Article 280a 3.
------+Article 280b Foreign exchange risk category add-on
---------+Article 280b 1.
---------+Article 280b 2.
------+Article 280c Credit risk category add-on
---------+Article 280c 1.
---------+Article 280c 2.
---------+Article 280c 3.
---------+Article 280c 4.
---------+Article 280c 5.
------+Article 280d Equity risk category add-on
---------+Article 280d 1.
---------+Article 280d 2.
---------+Article 280d 3.
---------+Article 280d 4.
------+Article 280e Commodity risk category add-on
---------+Article 280e 1.
---------+Article 280e 2.
---------+Article 280e 3.
---------+Article 280e 4.
---------+Article 280e 5.
------+Article 280f Other risks category add-on
---------+Article 280f 1.
---------+Article 280f 2.
---+Section 4 Simplified standardised approach for counterparty credit risk
------+Article 281 Calculation of the exposure value
---------+Article 281 1.
---------+Article 281 2.
---+Section 5 Original exposure method
------+Article 282 Calculation of the exposure value
---------+Article 282 1.
---------+Article 282 2.
---------+Article 282 3.
---------+Article 282 4.
---+Section 6 Internal Model Method
------+Article 283 Permission to use the Internal Model Method
---------+Article 283 1.
---------+Article 283 2.
---------+Article 283 3.
---------+Article 283 4.
---------+Article 283 5.
---------+Article 283 6.
------+Article 284 Exposure value
---------+Article 284 1.
---------+Article 284 2.
---------+Article 284 3.
---------+Article 284 4.
---------+Article 284 5.
---------+Article 284 6.
---------+Article 284 7.
---------+Article 284 8.
---------+Article 284 9.
---------+Article 284 10.
---------+Article 284 11.
---------+Article 284 12.
---------+Article 284 13.
------+Article 285 Exposure value for netting sets subject to a margin agreement
---------+Article 285 1.
---------+Article 285 2.
---------+Article 285 3.
---------+Article 285 4.
---------+Article 285 5.
---------+Article 285 6.
---------+Article 285 7.
---------+Article 285 7a.
---------+Article 285 8.
------+Article 286 Management of CCR — Policies, processes and systems
---------+Article 286 1.
---------+Article 286 2.
---------+Article 286 3.
---------+Article 286 4.
---------+Article 286 5.
---------+Article 286 6.
---------+Article 286 7.
---------+Article 286 8.
------+Article 287 Organisation structures for CCR management
---------+Article 287 1.
---------+Article 287 2.
---------+Article 287 3.
---------+Article 287 4.
------+Article 288 Review of CCR management system
------+Article 289 Use test
---------+Article 289 1.
---------+Article 289 2.
---------+Article 289 3.
---------+Article 289 4.
---------+Article 289 5.
---------+Article 289 6.
------+Article 290 Stress testing
---------+Article 290 1.
---------+Article 290 2.
---------+Article 290 3.
---------+Article 290 4.
---------+Article 290 5.
---------+Article 290 6.
---------+Article 290 7.
---------+Article 290 8.
---------+Article 290 9.
---------+Article 290 10.
------+Article 291 Wrong-Way Risk
---------+Article 291 1.
---------+Article 291 2.
---------+Article 291 3.
---------+Article 291 4.
---------+Article 291 5.
---------+Article 291 6.
------+Article 292 Integrity of the modelling process
---------+Article 292 1.
---------+Article 292 2.
---------+Article 292 3.
---------+Article 292 4.
---------+Article 292 5.
---------+Article 292 6.
---------+Article 292 7.
---------+Article 292 8.
---------+Article 292 9.
---------+Article 292 10.
------+Article 293 Requirements for the risk management system
---------+Article 293 1.
---------+Article 293 2.
---------+Article 293 3.
---------+Article 293 4.
---------+Article 293 5.
---------+Article 293 6.
------+Article 294 Validation requirements
---------+Article 294 1.
---------+Article 294 2.
---------+Article 294 3.
---+Section 7 Contractual netting
------+Article 295 Recognition of contractual netting as risk-reducing
------+Article 296 Recognition of contractual netting agreements
---------+Article 296 1.
---------+Article 296 2.
---------+Article 296 3.
------+Article 297 Obligations of institutions
---------+Article 297 1.
---------+Article 297 2.
---------+Article 297 3.
---------+Article 297 4.
------+Article 298 Effects of recognition of netting as risk-reducing
---+Section 8 Items in the trading book
------+Article 299 Items in the trading book
---------+Article 299 1.
---------+Article 299 2.
---+Section 9 Own funds requirements for exposures to a central counterparty
------+Article 300 Definitions
------+Article 301 Material scope
---------+Article 301 1.
---------+Article 301 2.
------+Article 302 Monitoring of exposures to CCPs
---------+Article 302 1.
---------+Article 302 2.
------+Article 303 Treatment of clearing members' exposures to CCPs
---------+Article 303 1.
---------+Article 303 2.
------+Article 304 Treatment of clearing members' exposures to clients
---------+Article 304 1.
---------+Article 304 2.
---------+Article 304 3.
---------+Article 304 4.
---------+Article 304 5.
---------+Article 304 6.
---------+Article 304 7.
------+Article 305 Treatment of clients' exposures
---------+Article 305 1.
---------+Article 305 2.
---------+Article 305 3.
---------+Article 305 4.
------+Article 306 Own funds requirements for trade exposures
---------+Article 306 1.
---------+Article 306 2.
---------+Article 306 3.
---------+Article 306 4.
------+Article 307 Own funds requirements for contributions to the default fund of a CCP
------+Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP
---------+Article 308 1.
---------+Article 308 2.
---------+Article 308 3.
------+Article 309 Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP
---------+Article 309 1.
---------+Article 309 2.
------+Article 310 Own funds requirements for unfunded contributions to the default fund of a QCCP
------+Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions
---------+Article 311 1.
---------+Article 311 2.

CHAPTER 6 Counterparty credit risk

CHAPTER 6 Counterparty credit risk

1. Overview

,
Section 1 Definitions Section 1 Definitions
Section 2 Methods for calculating the exposure value Section 2 Methods for calculating the exposure value
Section 3 Standardised approach for counterparty credit risk Section 3 Standardised approach for counterparty credit risk
Section 4 Simplified standardised approach for counterparty credit risk Section 4 Simplified standardised approach for counterparty credit risk
Section 5 Original exposure method Section 5 Original exposure method
Section 6 Internal Model Method Section 6 Internal Model Method
Section 7 Contractual netting Section 7 Contractual netting
Section 8 Items in the trading book Section 8 Items in the trading book
Section 9 Own funds requirements for exposures to a central counterparty Section 9 Own funds requirements for exposures to a central counterparty

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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