+Article 276 2.

Article 276 2.

For the calculation of the volatility-adjusted value of collateral posted referred to in point (d) of paragraph 1 of this Article, institutions shall replace the formula set out in Article 223(2) with the following formula:

CVA = C · (1 + HC + Hfx)
where:
CVA = the volatility-adjusted value of collateral posted; and
C = the collateral;
Hc and Hfx are defined in accordance with Article 223(2).

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards