Article 220 › 3

Institutions shall calculate E* according to the following formula: where: Ei the exposure value for each separate exposure i under the agreement that would apply in the absence of the credit protection, where institutions calculate risk-weighted exposure amounts under the Standardised Approach or where they calculate the risk-weighted exposure amounts and expected loss amounts under the IRB Approach; Ci the value of securities in each group or commodities of the same type borrowed, purchased or received or the cash borrowed or received in respect of each exposure i; the net position (positive or negative) in a given group of securities j; the net position (positive or negative) in a given currency k other than the settlement currency of the agreement as calculated under point (b) of paragraph 2; the volatility adjustment appropriate to a particular group of securities j; the foreign exchange volatility adjustment for currency k.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04