Interactive Single Rulebook

The Interactive Single Rulebook is an on-line tool that provides a comprehensive compendium of  the level 1 text for the Capital Requirements Regulation (CRR) and the Capital Requirements Directive (CRD IV); Bank Recovery and Resolution Directive (BRRD); the Deposit Guarantee Schemes Directive (DGSD); and the Payments Services Directive (PSD2)  the corresponding technical standards developed by the European Banking Authority (EBA) and adopted by the European Commission (RTS and ITS), as well as the EBA Guidelines and related Q&As.
 
The purpose of the Single Rulebook is to ensure the consistent application of the regulatory banking framework across the EU.
 
This Interactive Single Rulebook is meant purely as a documentation tool and the EBA does not assume any liability for its contents. For the authentic version of EU legislation users should refer to the Official Journal of the European Union.
 
Please click on the relevant legislative text to see technical standards, guidelines and Q&As relating to each Article.
 
 
 

Interactive Single Rulebook

Path Capital Requirements Regulation > PART THREE > TITLE II > CHAPTER 6 > Section 5 > Article 276 (Copy link to article)
Title Article 276
Description Standardised Method
Main content

1. Institutions may use the Standardised Method (hereinafter referred to as “SM”) only for calculating the exposure value for OTC derivatives and long settlement transactions.

2. When applying the SM, institutions shall calculate the exposure value separately for each netting set, net of collateral, as follows:

where:

CMV = current market value of the portfolio of transactions within the netting set with a counterparty gross of collateral, where:

where:

CMVi = the current market value of transaction i;

i = index designating transaction;

l = index designating collateral;

j = index designating hedging set category;

The hedging sets for this purpose correspond to risk factors for which risk positions of opposite sign can be offset to yield a net risk position on which the exposure measure is then based.

RPTij = risk position from transaction i with respect to hedging set j;

RPClj = risk position from collateral l with respect to hedging set j;

CCRMj = CCR Multiplier set out in Table 5 with respect to hedging set j;

β = 1,4.

3. For the purposes of the calculation under paragraph 2:

(a) eligible collateral received from a counterparty shall have a positive sign and collateral posted to a counterparty shall have a negative sign;

(b) only collateral that is eligible under Article 197, Article 198 and Article 299(2)(d) shall be used for the SM;

(c) an institution may disregard the interest rate risk from payment legs with a remaining maturity of less than one year;

(d) an institution may treat transactions that consist of two payment legs that are denominated in the same currency as a single aggregate transaction. The treatment for payment legs applies to the aggregate transaction.

Topics