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`.

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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.