(149)

Article 274 is amended as follows: paragraph 4 is replaced by the following: ‘4. Where multiple margin agreements apply to the same netting set, or the same netting set includes both transactions subject to a margin agreement and transactions not subject to a margin agreement, an institution shall calculate its exposure value as follows: ; the institution shall establish the hypothetical sub-netting sets concerned, composed of transactions included in the netting set, as follows: all transactions subject to a margin agreement and to the same margin period of risk as determined in accordance with Article 285(2) to (5), shall be allocated to the same sub-netting set; all transactions not subject to a margin agreement shall be allocated to the same sub-netting set, distinct from the sub-netting sets established in accordance with point (i) of this paragraph; the institution shall calculate the replacement cost of the netting set in accordance with Article 275(2), taking into account all transactions within the netting set, whether or not subject to a margin agreement, and apply all of the following: CMV shall be calculated for all transactions within a netting set gross of any collateral held or posted where positive and negative market values are netted in computing the CMV; NICA, VM, TH, and MTA, where applicable, shall be calculated separately as the sum across the same inputs applicable to each individual margin agreement of the netting set; the institution shall calculate the potential future exposure of the netting set referred to in Article 278 by applying all of the following: the multiplier referred to in Article 278(1) shall be based on the inputs CMV, NICA and VM, as applicable, in accordance with point (b) of this paragraph; shall be calculated in accordance with Article 278, separately for each hypothetical sub-netting set referred to in point (a) of this paragraph.’ in paragraph 6, the following subparagraphs are added: ‘By way of derogation from the first subparagraph, institutions shall replace a vanilla digital option the strike of which equals K with the relevant collar combination of two sold and bought vanilla call or put options that meet the following requirements: The risk position of the two options of the collar combination referred to in the second subparagraph shall be calculated separately in accordance with Article 279.’ ; the two options of the collar combination have: the same expiry date and the same spot or forward price of the underlying instrument as the vanilla digital option; strikes equal to 0,95∙K and 1,05∙K respectively; the collar combination replicates exactly the vanilla digital option payoff outside the range between the two strikes referred to in point (a).

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.