Step (a): the notional principal amount of each instrument is multiplied by the percentages given in Table 3.
Table 3
|
Original maturity [In the case of interest-rate contracts, credit institutions may, subject to the consent of their competent authorities, choose either original or residual maturity.] |
Interest-rate contracts |
Contracts concerning foreign-exchange rates and gold |
|---|---|---|
|
One year or less |
0,5 % |
2 % |
|
Over one year, not exceeding two years |
1 % |
5 % |
|
Additional allowance for each additional year |
1 % |
3 % |
Step (b): the original exposure thus obtained shall be the exposure value.