+Article 223 3.

Article 223 3.

Institutions shall calculate the volatility-adjusted value of the exposure (EVA) they need to take into account as follows:

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where:

E

=

the exposure value as would be determined under Chapter 2 or Chapter 3, as applicable, where the exposure was not collateralised;

HE

=

the volatility adjustment appropriate to the exposure, as calculated under Articles 224 and 227.

In the case of OTC derivative transactions, institutions using the method laid down in Section 6 of Chapter 6 shall calculate EVA as follows:

EVA = E.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards