Version status: Applicable | Document consolidation status: Updated to reflect all known changes
Version date: 1 January 2014 - 27 June 2021
  Version 4 of 5  

Article 276 Standardised Method

1. Institutions may use the Standardised Method (hereinafter referred to as 'SM') only for calculating the exposure value for OTC derivatives and long settlement transactions.

2. When applying the SM, institutions shall calculate the exposure value separately for each netting set, net of collateral, as follows:


CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, where:


CMVi = the current market value of transaction i;

CMC = the current market value of the collateral assigned to the netting set, where:


CMC1 = the current market value of collateral l;

i = index designating transaction;

l = index designating collateral;

j = index designating hedging set category;

The hedging sets for this purpose correspond to risk factors for which risk positions of opposite sign can be offset to yield a net risk position on which the exposure measure is then based.

RPTij = risk position from transaction i with