(f)

for credit institutions using the Internal Model Method set out in Annex III, Part 6 to calculate the exposure values, M shall be calculated for exposures to which they apply this method and for which the maturity of the longest-dated contract contained in the netting set is greater than one year according to the following formula: M = MIN((Σ_(k=1)^(tk≤1year)EffectiveEE_(k)^(*)Δt_(k)^(*)df_(k) + Σ_(tk>1year)^(maturity)EE_(k)^(*)Δt_(k)^(*)df_(k) / Σ_(k=1)^(tk≤1year)EffectiveEE_(k)^(*)Δt_(k)^(*)df_(k));5) where: df = the risk‐free discount factor for future time period t_(k) and the remaining symbols are defined in Annex III, Part 6. Notwithstanding the first paragraph of point 13(f), a credit institution that uses an internal model to calculate a one-sided credit valuation adjustment (CVA) may use, subject to the approval of the competent authorities, the effective credit duration estimated by the internal model as M. Subject to paragraph 14, for netting sets in which all contracts have an original maturity of less than one year the formula in point (a) shall apply; and

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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.