15.2.2.9.1 Calculation of Downgrade Impact Amount for Derivatives
The downgrade impact amount for derivatives is calculated as follows:
- If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0. Else,
- If Net Exposure >0, the downgrade impact amount is 0. Else,
- If Net Exposure <=0, the downgrade impact amount is calculated as
follows:
Figure 14-19 Calculation of Downgrade Impact Amount for Derivatives