Article 281
Calculation of the exposure value
The exposure value of a netting set shall be calculated in accordance with the following requirements:
institutions shall not apply the treatment referred to in Article 274(6);
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. 
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; 
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;
all hedging sets shall be established in accordance with Article 277a(1);
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 addon for risk category a; 
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; 
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; 
the maturity factor referred to in Article 279c(1) shall be calculated as follows:
for transactions included in netting sets referred to in Article 275(1), MF = 1;
for transactions included in netting sets referred to in Article 275(2) and (3), MF = 0,42;
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; 
the formula referred to in Article 280c(3) that is used to calculate the credit risk category addon for hedging set j shall read as follows:
where:

= 
the credit risk category addon for hedging set j; and 
AddOn(Entityk) 
= 
the addon for the credit reference entity k; 
the formula referred to in Article 280d(3) that is used to calculate the equity risk category addon for hedging set j shall read as follows:
where:

= 
the equity risk category addon for hedging set j; and 
AddOn(Entityk) 
= 
the addon for the credit reference entity k; 
the formula referred to in Article 280e(4) that is used to calculate the commodity risk category addon for hedging set j shall read as follows:
where:

= 
the commodity risk category addon for hedging set j; and 

= 
the addon for the commodity reference type k. 