Mark-to-Market Method

by attaching current market values to contracts (mark‐to‐market), the current replacement cost of all contracts with positive values is obtained. to obtain a figure for potential future credit exposure, except in the case of single‐currency ‘floating/floating’ interest rate swaps in which only the current replacement cost will be calculated, the notional principal amounts or underlying values are multiplied by the percentages in Table 1: Table 1 Contracts which do not fall within one of the five categories indicated in this table shall be treated as contracts concerning commodities other than precious metals. For contracts with multiple exchanges of principal, the percentages have to be multiplied by the number of remaining payments still to be made according to the contract. For contracts that are structured to settle outstanding exposure following specified payment dates and where the terms are reset such that the market value of the contract is zero on these specified dates, the residual maturity would be equal to the time until the next reset date. In the case of interest-rate contracts that meet these criteria and have a remaining maturity of over one year, the percentage shall be no lower than 0,5 %. Residual maturity Interest‐rate contracts Contracts concerning foreign-exchange rates and gold Contracts concerning equities Contracts concerning precious metals except gold Contracts concerning commodities other than precious metals One year or less 0 % 1 % 6 % 7 % 10 % Over one year, not exceeding five years 0,5 % 5 % 8 % 7 % 12 % Over five years 1,5 % 7,5 % 10 % 8 % 15 % For the purpose of calculating the potential future credit exposure in accordance with step (b) the competent authorities may allow credit institutions to apply the percentages in Table 2 instead of those prescribed in Table 1 provided that the institutions make use of the option set out in Annex IV, point 21 to Directive 2006/49/EC for contracts relating to commodities other than gold within the meaning of paragraph 3 of Annex IV, to this Directive: Table 2 Residual maturity Precious metals (except gold) Base metals Agricultural products (softs) Other, including energy products One year or less 2 % 2,5 % 3 % 4 % Over one year, not exceeding five years 5 % 4 % 5 % 6 % Over five years 7,5 % 8 % 9 % 10 % the sum of current replacement cost and potential future credit exposure is the exposure value.

← PART 3 · All articles · Step (a): →

Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.