Institutions may calculate a single exposure value at netting set level where the contractual netting agreement is of a type in Article 295, has been recognised by competent authorities under Article 296 and the institution has fulfilled Article 297; otherwise each transaction is treated as its own netting set. Under the standardised approach exposure value = α·(RC + PFE) where RC is replacement cost per Article 275, PFE is potential future exposure per Article 278 and α = 1.4. A netting set subject to a contractual margin agreement is capped at the exposure value of the same netting set not subject to margin.

Where multiple margin agreements apply, institutions must establish hypothetical sub‑netting sets by margin period of risk and non‑margined transactions; calculate RC taking all transactions into account with CMV computed gross of collateral and NICA, VM, TH and MTA summed across applicable margin inputs; and calculate PFE using the multiplier based on CMV, NICA and VM and separately for each sub‑netting set. Institutions may set exposure to zero for netting sets solely of sold options if CMV is always negative, premiums were received upfront and no margin applies. Finite linear combinations of options must be replaced by the constituent single options for exposure calculation, with a derogation allowing a vanilla digital option to be replicated by a collar of strikes 0.95·K and 1.05·K and the two options’ risk positions calculated under Article 279. A credit derivative long in the underlying may have exposure capped at outstanding unpaid premium if treated as its own non‑margined netting set.