lexiara

Article 276 › 2

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

When applying the SM, institutions shall calculate the exposure value separately for each netting set, net of collateral, as follows: where: CMV current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, where: where: CMVi the current market value of transaction i; CMC the current market value of the collateral assigned to the netting set, where: where: CMCl the current market value of collateral l; i index designating transaction; l index designating collateral; j index designating hedging set category; The hedging sets for this purpose 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.

· All articles ·

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