1.

The Standardised Method (SM) can be used only for OTC derivatives and long settlement transactions. The exposure value shall be calculated separately for each netting set. It shall be determined net of collateral, as follows: exposure value = β^(*)max(CMV-CMC;Σ_(j)Σ_(i)RPT_(ij)-Σ_(l)RPC_(lj)^(*)CCRM_(j)) where: CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, that is, where: CMV = Σ_(i)CMV_(i) where: CMVi = the current market value of transaction i; CMC = the current market value of the collateral assigned to the netting set, that is, where: CMC = Σ_(l)CMC_(l) where CMCl = the current market value of collateral l; i = index designating transaction; l = index designating collateral; j = index designating hedging set category. These hedging sets 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; RPTij = risk position from transaction i with respect to hedging set j; RPClj = risk position from collateral l with respect to hedging set j; CCRMj = CCR Multiplier set out in Table 5 with respect to hedging set j; β = 1.4. Collateral received from a counterparty has a positive sign and collateral posted to a counterparty has a negative sign. Collateral that is recognised for this method is confined to the collateral that is eligible under point 11 of Part 1 of Annex VIII to this Directive and point 9 of Annex II to Directive 2006/49/EC.

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