Article 275

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 6 > Section 4 > Article 275
Title:
Article 275
Description: 
Original Exposure Method
Main content: 

1. The exposure value is the notional amount of each instrument multiplied by the percentages set out in Table 3.

Table 3
Original maturityInterest-rate contractsContracts concerning foreign-exchange rates and gold
One year or less0,5 %2 %
Over one year, not exceeding five years1 %5 %
Over five years1 %3 %

2. For calculating the exposure value of interest-rate contracts, an institution may choose to use either the original or residual maturity.