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Capital Requirements Regulation (CRR)
Article 275

Article 275 — Original Exposure Method

  1. The exposure value is the notional amount of each instrument multiplied by the percentages set out in Table 3.
    Table 3
    Original maturityInterest-rate contractsContracts concerning foreign-exchange rates and gold
    One year or less0,5 %2 %
    Over one year, not exceeding two years1 %5 %
    Additional allowance for each additional year1 %3 %
  2. For calculating the exposure value of interest-rate contracts, an institution may choose to use either the original or residual maturity.