ANNEX

Annex II to Directive 89/647/EEC is amended as follows: 1. The heading is replaced by the following: 'ANNEX II THE TREATMENT OF OFF-BALANCE SHEET ITEMS`; 2. Point 1 is replaced by the following: '1. Choice of the method To measure the credit risks associated with the contracts listed in points 1 and 2 of Annex III, credit institutions may choose, subject to the consent of the competent authorities, one of the methods set out below. Credit institutions which have to comply with Article 6(1) of Directive 93/6/EEC must use method 1 set out below. To measure the credit risks associated with the contracts listed in point 3 of Annex III all credit institutions must use method 1 set out below`; 3. In point 2, Table 1 is replaced by the following: '>TABLE> For the purpose of calculating the potential future exposure in accordance with step (b) the competent authorities may allow credit institutions until 31 December 2006 to apply the following percentages instead of those prescribed in Table 1 provided that the institutions make use of the option set out in Article 11a of Directive 93/6/EEC for contracts within the meaning of point 3(b) and (c) of Annex III: >TABLE> ` 4. In Table 2, the heading in the first row of the third column is replaced by: 'Contracts concerning foreign-exchange rates and gold`. 5. In point 2 the following paragraph is added at the end: 'For methods 1 and 2 the competent authorities must ensure that the notional amount to be taken into account is an appropriate yardstick for the risk inherent in the contract. Where, for instance, the contract provides for a multiplication of cash flows, the notional amount must be adjusted in order to take into account the effects of the multiplication on the risk structure of that contract`. 6. In point (3)(b) the following paragraph is added: 'The competent authorities may recognise as risk-reducing contractual-netting agreements covering foreign-exchange contracts with an original maturity of 14 calendar days or less written options or similar off-balance-sheet items to which this Annex does not apply because they bear only a negligible or no credit risk. If, depending on the positive or negative market value of these contracts, their inclusion in another netting agreement can result in an increase or decrease of the capital requirements, competent authorities must oblige their credit institution to use a consistent treatment.` 7. In point (3)(c)(ii), the first paragraph and the introductory wording and the second paragraph, first indent, are replaced by the following: '(ii) Other netting agreements In application of method 1: in step (a) the current replacement cost for the contracts included in a netting agreement may be obtained by taking account of the actual hypothetical net replacement cost which results from the agreement; in the case where netting leads to a net obligation for the credit institution calculating the net replacement cost, the current replacement cost is calculated as "0"; in step (b) the figure for potential future credit exposure for all contracts included in a netting agreement may be reduced according to the following equation: PCEred = 0,4 * PCEgross + 0,6 * NGR * PCEgrosswhere: >TABLE> For the calculation of the potential future credit exposure according to the above formula perfectly matching contracts included in the netting agreement may be taken into account as a single contract with a notional principal equivalent to the net receipts. Perfectly matching contracts are forward foreign exchange contracts or similar contracts in which notional principal is equivalent to cash flows if the cash flows fall due on the same value date and fully or partly in the same currency. In the application of method 2, in step (a) perfectly matching contracts included in the netting agreement may be taken into account as a single contract with a notional principal equivalent to the net receipts, the notional principal amounts are multiplied by the percentages given in Table 2`. Annex III to Directive 89/647/EEC is replaced by the following: 'ANNEX III TYPES OF OFF-BALANCE-SHEET ITEMS 1. Interest-rate contracts: single-currency interest-rate swaps, basis-swaps, forward-rate agreements, interest-rate futures, interest-rate options purchased, other contracts of similar nature. 2. Foreign-exchange contracts and contracts concerning gold: cross-currency interest-rate swaps, forward foreign-exchange contracts, currency futures, currency options purchased, other contracts of a similar nature, contracts concerning gold of a nature similar to (a) to (e). 3. Contracts of a nature similar to those in points 1(a) to (e) and 2(a) to (d) concerning other reference items or indices concerning: equities, precious metals except gold, commodities other than precious metals, other contracts of a similar nature`.

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Source: EUR-Lex (Cellar) · retrieved 2026-11-05 · Text as adopted (Official Journal); later amendments are not incorporated in this text.