4.3.11.1 Calculating Downgrade Impact Amount for Derivatives
The application calculates the downgrade impact amount for derivatives as follows, if one of the following conditions are met.
- If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0.
- If Net Exposure greater than 0, the downgrade impact amount is 0.
- If Net Exposure less than or equal to 0, the downgrade impact amount is
calculated as follows:
Figure 3-17 Downgrade Impact Amount