Article 279 Calculation of the Risk Position
For the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f, institutions shall calculate the risk position of each transaction of a netting set as follows:
RiskPosition = δ · AdjNot · MF
where:
δ = the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;
AdjNot = the adjusted notional amount of the transaction calculated in accordance with Article 279b; and
MF = the maturity factor of the transaction calculated in accordance with the formula laid down in Article 279c.
- 01/01/2022