1.Under the Simplified Exposure Method, institutions shall determine the exposure value by multiplying the notional amount of each instrument by the percentages set out in Table 2.
Original maturity | Interest-rate contracts | Contracts concerning foreign-exchange rates and gold |
1 year or less | 0,5 % | 2 % |
Over 1 year, not exceeding 2 years | 1 % | 5 % |
Additional allowance for each additional year | 1 % | 3 % |
2.Institutions may, when calculating the exposure value of interest-rate contracts, use either the original or residual maturity.