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Capital Requirements Regulation (CRR)
Article 279

Article 279 - Calculation of the risk position

Status
In force
Selected consolidated version from
30/09/2021
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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.

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