Annex III Part 3 Mark-to-Market Method
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 contract is zero on these specified dates, the residual maturity would be equal to the time until the next reset date. In the case of interest-rate contracts that meet these criteria and have a remaining maturity of over one year, the percentage shall be no lower than 0,5 %.] |
Interest-rate contracts |
Contracts concerning foreign-exchange rates and gold |
Contracts concerning equities |
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