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.

1. If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0.
2. If Net Exposure greater than 0, the downgrade impact amount is 0.
3. If Net Exposure less than or equal to 0, the downgrade impact amount is calculated as follows:

   Figure 3-17 Downgrade Impact Amount