(a) Calculating adjusted values

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

The volatility-adjusted value of the collateral to be taken into account is calculated as follows in the case of all transactions except those transactions subject to recognised master netting agreements to which the provisions set out in points 5 to 23 are applied: C_(VA) = C x (1-H_(C)-H_(FX)) The volatility-adjusted value of the exposure to be taken into account is calculated as follows: E_(VA) = E x (1+H_(E)), and, in the case of OTC derivative transactions, E_(VA =) E. The fully adjusted value of the exposure, taking into account both volatility and the risk‐mitigating effects of collateral is calculated as follows: E* = max {0, [E_(VA -) C_(VAM)]} Where: E is the exposure value as would be determined under Articles 78 to 83 or Articles 84 to 89 as appropriate if the exposure was not collateralised. For this purpose, for credit institutions calculating risk‐weighted exposure amounts under Articles 78 to 83, the exposure value of off-balance sheet items listed in Annex II shall be 100 % of its value rather than the percentages indicated in Article 78(1), and for credit institutions calculating risk‐weighted exposure amounts under Articles 84 to 89, the exposure value of the items listed in Annex VII, Part 3, points 9 to 11 shall be calculated using a conversion factor of 100 % rather than the conversion factors or percentages indicated in those points. E_(VA) is the volatility-adjusted exposure amount. C_(VA) is the volatility-adjusted value of the collateral. C_(VAM) is C_(VA) further adjusted for any maturity mismatch in accordance with the provisions of Part 4. H_(E) is the volatility adjustment appropriate to the exposure (E), as calculated under points 34 to 59. H_(C) is the volatility adjustment appropriate to the collateral, as calculated under points 34 to 59. H_(FX) is the volatility adjustment appropriate to currency mismatch, as calculated under points 34 to 59. E* is the fully adjusted exposure value taking into account volatility and the risk‐mitigating effects of the collateral.

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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.