5.

The following information shall be disclosed regarding the credit institution's exposure to counterparty credit risk as defined in Annex III, Part 1: a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures; a discussion of policies for securing collateral and establishing credit reserves; a discussion of policies with respect to wrong-way risk exposures; a discussion of the impact of the amount of collateral the credit institution would have to provide given a downgrade in its credit rating; gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements; measures for exposure value under the methods set out in Parts 3 to 6 of Annex III, whichever method is applicable; the notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure; credit derivative transactions (notional), segregated between use for the credit institution's own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivatives products used, broken down further by protection bought and sold within each product group; and the estimate of α if the credit institution has received the approval of the competent authorities to estimate α.

← anx_XII__cpt_2__point_4__point_e__text_1 · All articles · anx_XII__cpt_2__point_5__text_1 →

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