CRR › Article 279
Article 279 Calculation of the risk position
official text, verbatim
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. |