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. |