Article 275
Original Exposure Method
1. The exposure value is the notional amount of each instrument multiplied by the percentages set out in Table 3.
Table 3
Original maturity |
Interest-rate contracts |
Contracts concerning foreign-exchange rates and gold |
One year or less |
0,5 % |
2 % |
Over one year, not exceeding two years |
1 % |
5 % |
Additional allowance for each additional year |
1 % |
3 % |
2. For calculating the exposure value of interest-rate contracts, an institution may choose to use either the original or residual maturity.