+Article 278 1.
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Article 278 1.
Institutions shall calculate the potential future exposure of a netting set as follows:
where:
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PFE
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=
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the potential future exposure;
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a
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=
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the index that denotes the risk categories included in the calculation of the potential future exposure of the netting set;
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AddOn(a)
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=
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the add-on for risk category a calculated in accordance with Articles 280a to 280f, as applicable; and
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multiplier
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=
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the multiplication factor calculated in accordance with the formula referred to in paragraph 3.
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For the purpose of this calculation, institutions shall include the add-on of a given risk category in the calculation of the potential future exposure of a netting set where at least one transaction of the netting set has been mapped to that risk category.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
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