Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 18 January 2015 - 27 June 2021
    Version 1 of 2  

Article 429b Counterparty credit risk add-on for repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions

1. In addition to the exposure value of repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions including those that are off-balance sheet in accordance with Article 429(5), institutions shall include in the exposure measure an add-on for counterparty credit risk determined in accordance to paragraph 2 or 3 of this Article, as applicable.

2. For the purposes of paragraph 1, for transactions with a counterparty which are not subject to a master netting agreement that meets the conditions laid down in Article 206 the add-on (Ei*) shall be determined on a transaction-by-transaction basis in accordance with the following formula:

where:

Ei is the fair value of securities or cash lent to the counterparty under transaction i;

Ci is the fair value of cash or securities received from the counterparty under transaction i.

3. For the purposes of paragraph 1, for transactions with a counterparty that are s