Examples of Exposure value in a sentence
The following formulas describe the calculation of the capital requirement for K-TCD: K-TCD=a x EV x Rf x CVA Where:- a=1.2- EV = Exposure value calculated in accordance Article 27 of IFR- RF = the risk factor applicable to the counterparty type as set out in the table 2 in Article 26- CVA = the credit valuation adjustment calculated in accordance with Article 32of IFR.
Exposure value under mark-to-market method The exposure value of derivatives is calculated as the sum of the positive mark to market values of the derivatives and the potential future exposure of the derivative calculated as per Article 274 of CRR.
Under the Standardised Approach the level of capital required against a given level of exposure to credit risk is calculated as: Credit risk capital requirement = Exposure value x Risk weighting* x 8%.
Exposure value calculation Exposure values for regulatory capital requirement purposes on over the counter traded products are calculated according to the CCR current exposure method.
Therefore, for ten (10) days after the third consecutive margin call, the Tariff Customer’s Non-FTR Potential Exposure value would be that calculated per the existing formulae plus the addition of up to $1,666,670.
When entering the data Exposure value in the Register, the exposure value and currency as per standard ISO 4271 shall be reported after taking into account credit risk mitigants and credit conversion factors in accordance with Implementing Regulation (EU) No 680/2014.
Exposure value refers to the sum of positive replacement cost and potential future credit exposure, however, for Repurchase transactions, it includes mark-to-market value of the securities provided as collateral (after application of regulatory volatility haircuts).
Institutions shall calculate the exposure value of a netting set under the standardised approach for counterparty credit risk as follows: Exposure value = α · (RC + PFE) where: RC = the replacement cost calculated in accordance with Article 275; and PFE = the potential future exposure calculated in accordance with Article 278; α = 1,4.
The X-COM Service determines the Settlement Instruction for the settlement within the limits of the Bilateral Exposure value, even if it is not foreseen the partialisation option as of paragraph 2.1.2;For the cancellation of non-settled transaction it applies what stated in paragraph 4.2.
The calculation includes the use of a multiplier that is at least set at 3.Advanced CVA capital charge: Exposure value and associated RWAs for the portfolios subject to the advanced method in accordance with Article 383 in the CRR.Standardised CVA capital charge: Exposure value and associated RWAs for the portfolios subject to the standardised method in accordance with Article 384 in the CRR.