Annex III Part 4 Original Exposure Method
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.