Step (a): by attaching current market values to contracts (mark-to-market), the current replacement cost of all contracts with positive values is obtained.
Step (b): to obtain a figure for potential future credit exposure, except in the case of single-currency 'floating/floating' interest rate swaps in which only the current replacement cost will be calculated, the notional principal amounts or underlying values are multiplied by the percentages in Table 1:
Table 1 [Contracts which do not fall within one of the five categories indicated in this table shall be treated as contracts concerning commodities other than precious metals.] [For contracts with multiple exchanges of principal, the percentages have to be multiplied by the number of remaining payments still to be made according to the contract.]
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Residual maturity [For contracts that are structured to settle outstanding exposure following specified payment dates and where the terms are reset such that the market value of the con |
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