Chapter 6 Counterparty credit risk (arts. 271-311)

Section 1 Definitions (arts. 271-272)
Applicable
Article 271 Determination of the exposure value
Applicable
Article 272 Definitions
Section 2 Methods for calculating the exposure value (art. 273-273b)
Applicable
Article 273 Methods for calculating the exposure value
Inserted
Article 273a Conditions for using simplified methods for calculating the exposure value
Inserted
Article 273b Non-compliance with the conditions for using simplified methods for calculating the exposure value of derivatives
Section 3 Standardised approach for counter party credit risk (arts. 274-208f)
Amended
Article 274 Exposure value
Amended
Article 275 Replacement cost
Amended
Article 276 Recognition and treatment of collateral
Amended
Article 277 Mapping of transactions to risk categories
Inserted
Article 277a Hedging sets
Amended
Article 278 Potential future exposure
Amended
Article 279 Calculation of the risk position
Inserted
Article 279a Supervisory delta
Inserted
Article 279b Adjusted notional amount
Inserted
Article 279c Maturity Factor
Amended
Article 280 Hedging set supervisory factor coefficient
Inserted
Article 280a Interest rate risk category add-on
Inserted
Article 280b Foreign exchange risk category add-on
Inserted
Article 280c Credit risk category add-on
Inserted
Article 280d Equity risk category add-on
Inserted
Article 280e Commodity risk category add-on
Inserted
Article 280f Other risks category add-on
Section 4 Simplified standardised approach for counter party credit risk (art. 281)
Amended
Article 281 Calculation of the exposure value
Section 5 Original exposure method (art. 282)
Amended
Article 282 Calculation of the exposure value
Section 6 Internal Model Method (arts. 283-294)
Applicable
Article 283 Permission to use the Internal Model Method
Amended
Article 284 Exposure value
Applicable
Article 285 Exposure value for netting sets subject to a margin agreement
Applicable
Article 286 Management of CCR - Policies, processes and systems
Applicable
Article 287 Organisation structures for CCR management
Applicable
Article 288 Review of CCR management system
Applicable
Article 289 Use test
Applicable
Article 290 Stress testing
Applicable
Article 291 Wrong-Way Risk
Applicable
Article 292 Integrity of the modelling process
Applicable
Article 293 Requirements for the risk management system
Applicable
Article 294 Validation requirements
Section 7 Contractual netting (arts. 295-298)
Applicable
Article 295 Recognition of contractual netting as risk-reducing
Applicable
Article 296 Recognition of contractual netting agreements
Applicable
Article 297 Obligations of institutions
Applicable
Article 298 Effects of recognition of netting as risk-reducing
Section 8 Items in the trading book (art. 299)
Applicable
Article 299 Items in the trading book
Section 9 Own funds requirements for exposures to a central counterparty (arts. 300-311)
Applicable
Article 300 Definitions
Applicable
Article 301 Material scope
Applicable
Article 302 Monitoring of exposures to CCPs
Applicable
Article 303 Treatment of clearing members' exposures to CCPs
Applicable
Article 304 Treatment of clearing members' exposures to clients
Applicable
Article 305 Treatment of clients' exposures
Applicable
Article 306 Own funds requirements for trade exposures
Applicable
Article 307 Own funds requirements for pre-funded contributions to the default fund of a CCP
Applicable
Article 308 Own funds requirements for pre-funded contributions to the default fund of a QCCP
Applicable
Article 309 Own funds requirements for pre-funded contributions to the default fund of a non-qualifying CCP and for unfunded contributions to a non-qualifying CCP
Applicable
Article 310 Alternative calculation of own funds requirement for exposures to a QCCP
Applicable
Article 311 Own funds requirements for exposures to CCPs that cease to meet certain conditions