Article 5c
Simplified Exposure Method
1.
Under the Simplified Exposure Method, institutions shall determine the exposure value by multiplying the notional amount of each instrument by the percentages set out in Table 2.
Table 2
|
Original maturity |
Interest-rate contracts |
Contracts concerning foreign-exchange rates and gold |
|
1 year or less |
0,5 % |
2 % |
|
Over 1 year, not exceeding 2 years |
1 % |
5 % |
|
Additional allowance for each additional year |
1 % |
3 % |
2.
Institutions may, when calculating the exposure value of interest-rate contracts, use either the original or residual maturity.