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Capital Requirements Regulation (CRR)
Article 279

Article 279 — Calculation of the risk position

For the purpose of calculating the risk category add-ons referred to in Articles 280a to 280f, institutions shall calculate the risk position of each transaction of a netting set as follows:

  • RiskPosition = δ · AdjNot · MF

    where:

    • δ = the supervisory delta of the transaction calculated in accordance with the formula laid down in Article 279a;
    • AdjNot = the adjusted notional amount of the transaction calculated in accordance with Article 279b; and
    • MF = the maturity factor of the transaction calculated in accordance with the formula laid down in Article 279c.