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Regulation (EU) No 575/2013 of the European Parliament and of the CouncilShow full title
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)
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[X1Article 276 U.K. Standardised Method
1. Institutions may use the Standardised Method (hereinafter referred to as ‘ SM ’ ) only for calculating the exposure value for OTC derivatives and long settlement transactions.
2. When applying the SM, institutions shall calculate the exposure value separately for each netting set, net of collateral, as follows:
where:
CMV
=
current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, where:
where:
CMV i
=
the current market value of transaction i ;
CMC
=
the current market value of the collateral assigned to the netting set, where:
where:
CMC l
=
the current market value of collateral l;
i
=
index designating transaction;
l
=
index designating collateral;
j
=
index designating hedging set category;
The hedging sets for this purpose correspond to risk factors for which risk positions of opposite sign can be offset to yield a net risk position on which the exposure measure is then based.
RPT ij
=
risk position from transaction i with respect to hedging set j;
RPC lj
=
risk position from collateral l with respect to hedging set j;
CCRM j
=
CCR Multiplier set out in Table 5 with respect to hedging set j;
β
=
1,4.
3. For the purposes of the calculation under paragraph 2:
(a) eligible collateral received from a counterparty shall have a positive sign and collateral posted to a counterparty shall have a negative sign;
(b) only collateral that is eligible under Article 197, Article 198 and Article 299(2)(d) shall be used for the SM;
(c) an institution may disregard the interest rate risk from payment legs with a remaining maturity of less than one year;
(d) an institution may treat transactions that consist of two payment legs that are denominated in the same currency as a single aggregate transaction. The treatment for payment legs applies to the aggregate transaction.]
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