Article 111

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 2 > Section 1 > Article 111
Title:
Article 111
Description: 
Exposure value
Main content: 

When an institution is using the Financial Collateral Comprehensive Method under Article 223, the exposure value of securities or commodities sold, posted or lent under a repurchase transaction or under a securities or commodities lending or borrowing transaction,  and margin lending transactions shall be increased by the volatility adjustment appropriate to such securities or commodities as prescribed in Articles 223 to 225.

2.  The exposure value of a derivative instrument listed in Annex II shall be determined in accordance with Chapter 6 with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Chapter 6. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Chapter 6 or Chapter 4.

3.  Where an exposure is subject to funded credit protection, the exposure value applicable to that item may be amended in accordance with Chapter 4.