Institutions must calculate exposure values for Annex II contracts and credit derivatives (except paras 3 and 5) by one of the methods in Sections 3–6. Firms not meeting Article 273a(1) or (2) may not use Section 4 or 5; methods may be combined only at group level. With Article 283 approval the Internal Model Method may apply to Annex II contracts, repurchase, securities/commodities lending or borrowing, margin lending and long settlement. Purchased credit protection for non‑trading book or counterparty exposures may be treated under Articles 233–236 or, with Article 143 permission, Article 183; those credit derivatives are zero for CCR unless approach (ii) of point (h) Article 299(2) applies. Sold CDS treated as protection and subject to full notional own‑funds for the underlying have zero CCR exposure in the non‑trading book.

For a counterparty the exposure value equals the sum of exposure values for each netting set; where one margin agreement covers multiple netting sets the relevant Section applies. A netting set exposure is the greater of zero and (sum of exposures across netting sets minus recognised incurred CVAs), with CVAs excluding any debit value adjustment for own credit risk already excluded from own funds under Article 33(1)(c). Perfectly matching OTC contracts may be treated as a single contract with zero notional if they have opposite risk positions, identical features except trade date and fully offset cash flows. Long settlement exposures may be calculated by any Section; Chapter 3 users may permanently apply Chapter 2 risk weights. Transactions identified with Specific Wrong‑Way risk must be treated in accordance with Article 291(2),(4),(5) and (6).