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Section 4

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

The exposure value is the notional amount of each instrument multiplied by the percentages set out in Table 3. Table 3 Original maturity Interest-rate contracts Contracts concerning foreign-exchange rates and gold One year or less 0,5 % 2 % Over one year, not exceeding two years 1 % 5 % Additional allowance for each additional year 1 % 3 % For calculating the exposure value of interest-rate contracts, an institution may choose to use either the original or residual maturity.

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.