BWG CRR | Bankwesengesetz & Capital Requirements Regulation, Band 2

Art 274

Artikel 274

Marktbewertungsmethode

(1) Um für alle Kontrakte mit positivem Wert den aktuellen Wiedereindeckungsaufwand zu ermitteln, weisen die Institute den Kontrakten den aktuellen Marktwert zu.

Question ID: 2013_611 Keine Ausnahme für derivative Geschäfte mit negativen Marktwert

There is no exception for contracts listed in Annex II of Regulation (EU) No. 575/2013 (CRR) with a negative market value for the calculation of add-ons using the Market-to-market Method under Article 274 of the CRR.

The exposure value under the Mark-to market Method is „[t]he sum of current replacement cost and the potential future credit exposure…“ (Article 274(4) of the CRR). For determining current replacement costs, institutions only consider contracts with a positive market value (Article 274(1)). Replacement costs for contracts with a negative market value is floored at zero.

In contrast, the add-on for the potential future credit exposure defined in Article 274(2) of the CRR has to be calculated for all contracts regardless of the current market value.

(2) Zur Bestimmung des potenziellen künftigen Wiederbeschaffungswerts multiplizieren die Institute die Nominalbeträge oder gegebenenfalls die zug...