Article 281
Calculation of the exposure value
1.
Institutions shall calculate a single exposure value at netting set level in accordance with Section 3, subject to paragraph 2 of this Article.
2.
The exposure value of a netting set shall be calculated in accordance with the following requirements:
(a)
institutions shall not apply the treatment referred to in Article 274(6);
(b)
by way of derogation from Article 275(1), for netting sets that are not referred to in Article 275(2), institutions shall calculate the replacement cost in accordance with the following formula:
RC = max{CMV, 0}
where:
|
RC |
= |
the replacement cost; and |
|
= |
the current market value. |
(c)
by way of derogation from Article 275(2) of this Regulation, for netting sets of transactions: that are traded on a recognised exchange; that are centrally cleared by a central counterparty authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation; or for which collateral is exchanged bilaterally with the counterparty in accordance with Article 11 of Regulation (EU) No 648/2012, institutions shall calculate the replacement cost in accordance with the following formula:
RC = TH + MTA
where:
|
RC |
= |
the replacement cost; |
|
TH |
= |
the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and |
|
MTA |
= |
the minimum transfer amount applicable to the netting set under the margin agreement; |
(d)
by way of derogation from Article 275(3), for multiple netting sets that are subject to a margin agreement, institutions shall calculate the replacement cost as the sum of the replacement cost of each individual netting set, calculated in accordance with paragraph 1 as if they were not margined;
(e)
all hedging sets shall be established in accordance with Article 277a(1);
(f)
institutions shall set to 1 the multiplier in the formula that is used to calculate the potential future exposure in Article 278(1), as follows:
where:
|
PFE |
= |
the potential future exposure; and |
|
AddOn(a) |
= |
the add-on for risk category a; |
(g)
by way of derogation from Article 279a(1), for all transactions, institutions shall calculate the supervisory delta as follows:
|
δ = |
|
+ 1 where the transaction is a long position in the primary risk driver |
|
|
– 1 where the transaction is a short position in the primary risk driver |
where:
|
δ |
= |
the supervisory delta; |
(h)
the formula referred to in point (a) of Article 279b(1) that is used to compute the supervisory duration factor shall read as follows:
supervisory duration factor = E – S
where:
|
E |
= |
the period between the end date of a transaction and the reporting date; and |
|
S |
= |
the period between the start date of a transaction and the reporting date; |
(i)
the maturity factor referred to in Article 279c(1) shall be calculated as follows:
(i)
for transactions included in netting sets referred to in Article 275(1), MF = 1;
(ii)
for transactions included in netting sets referred to in Article 275(2) and (3), MF = 0,42;
(j)
the formula referred to in Article 280a(3) that is used to calculate the effective notional amount of hedging set j shall read as follows:
where:
|
|
= |
the effective notional amount of hedging set j; and |
|
Dj,k |
= |
the effective notional amount of bucket k of hedging set j; |
(k)
the formula referred to in Article 280c(3) that is used to calculate the credit risk category add-on for hedging set j shall read as follows:
where:
|
|
= |
the credit risk category add-on for hedging set j; and |
|
AddOn(Entityk) |
= |
the add-on for the credit reference entity k; |
(l)
the formula referred to in Article 280d(3) that is used to calculate the equity risk category add-on for hedging set j shall read as follows:
where:
|
|
= |
the equity risk category add-on for hedging set j; and |
|
AddOn(Entityk) |
= |
the add-on for the credit reference entity k; |
(m)
the formula referred to in Article 280e(4) that is used to calculate the commodity risk category add-on for hedging set j shall read as follows:
where:
|
|
= |
the commodity risk category add-on for hedging set j; and |
|
|
= |
the add-on for the commodity reference type k. |
