+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 3 Standardised approach for counterparty credit risk

Section 3 Standardised approach for counterparty credit risk

1. Overview

,
Article 274 Exposure value
Article 275 Replacement cost
Article 276 Recognition and treatment of collateral
Article 277 Mapping of transactions to risk categories
Article 277a Hedging sets
Article 278 Potential future exposure
Article 279 Calculation of the risk position

Article 279

Calculation of the risk position

For the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f, institutions shall calculate the risk position of each transaction of a netting set as follows:

RiskPosition = δ · AdjNot · MF
where:

δ

=

the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;

AdjNot

=

the adjusted notional amount of the transaction calculated in accordance with Article 279b; and

MF

=

the maturity factor of the transaction calculated in accordance with the formula laid down in Article 279c.
Article 279a Supervisory delta
Article 279b Adjusted notional amount
Article 279c Maturity Factor
Article 280 Hedging set supervisory factor coefficient

Article 280

Hedging set supervisory factor coefficient

For the purpose of calculating the add-on of a hedging set as referred to in Articles 280a to 280f, the hedging set supervisory factor coefficient ‘є’ shall be the following:



є =
left accolade

1 for the hedging sets established in accordance with Article 277a(1)

5 for the hedging sets established in accordance with point (a) of Article 277a(2)

0,5 for the hedging sets established in accordance with point (b) of Article 277a(2)
Article 280a Interest rate risk category add-on
Article 280b Foreign exchange risk category add-on
Article 280c Credit risk category add-on
Article 280d Equity risk category add-on
Article 280e Commodity risk category add-on
Article 280f Other risks category add-on

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards