In the answer to Question 2015_1701, the EBA already clarifies that 'For the purpose of calculating the potential future credit exposure of a cash settled derivative contract, the residual maturity of the derivative contract should be used to determine the percentage as per Table 1 in Article 274(2) of Regulation (EU) No 575/2013. There is no potential future credit exposure after the settlement date of the derivative.' Derivative contracts that are physical settled with cash instruments (e.g. cash debt securities) also result in no potential future credit exposure after the settlement date of the derivative. Accordingly the same principle should be applied, i.e. the relevant maturity is determined by the derivative maturity.

However, for a physical settled derivative that is settled by means of entering into a derivative, e.g. a 3 months option to enter into a 10 year interest rate swap, the maturity of the underlying derivative should be used.

Should, e.g. in case of a 3 month forward on a debt instrument with a remaining maturity of 10 years, the derivate maturity (3 months) be used or should the maturity of the underlying cash instrument (10 years) be used?