5.2.10.3.1 Calculation of Downgrade Impact Amount for Derivatives

The downgrade impact amount for derivatives is calculated as follows:

1. If a downgrade trigger does not exist for the derivatives contract or netting agreement, the downgrade impact amount is 0.

   OR

2. If Net Exposure >0, the downgrade impact amount is 0.

   OR

3. If Net Exposure <=0, the downgrade impact amount is calculated as follows:

Figure 4-13 Downgrade Impact Amount