+Artikel 235 Berechnung der risikogewichteten Positionsbeträge im Rahmen des Substitutionsansatzes, wenn die garantierte Risikoposition gemäß dem Standardansatz behandelt wird
---+Article 235 1.
---+Article 235 2.
---+Article 235 3.

Artikel 235 Berechnung der risikogewichteten Positionsbeträge im Rahmen des Substitutionsansatzes, wenn die garantierte Risikoposition gemäß dem Standardansatz behandelt wird

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1. Übersicht

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Article 235 1.

For the purposes of Article 113(3), institutions shall calculate the risk-weighted exposure amounts for exposures with unfunded credit protection to which those institutions apply the Standardised Approach, irrespective of the treatment of comparable direct exposure to the protection provider, in accordance with the following formula:

max {0, E – GA} · r + GA · g

where:

E

= the exposure value calculated in accordance with Article 111; for that purpose, the exposure value of an off-balance-sheet item listed in Annex I shall be 100 % of its value rather than the exposure value indicated in Article 111(2);

GA

= the amount of credit protection adjusted for foreign exchange risk (G*) as calculated under Article 233(3) further adjusted for any maturity mismatch as laid down in Section 5 of this Chapter;

r

= the risk weight of exposures to the obligor as specified in Chapter 2;

g

= the risk weight applicable to a direct exposure to the protection provider as specified in Chapter 2.
Article 235 2.
Where the protected amount (GA) is less than the exposure (E), institutions may apply the formula specified in paragraph 1 only where the protected and unprotected parts of the exposure are of equal seniority.
Article 235 3.
Institutions may extend the preferential treatment set out in Article 114(4) and (7), to exposures or parts of exposures guaranteed by the central government or the central bank as if those exposures were direct exposures to the central government or the central bank, provided that the conditions set out in Article 114(4) or (7), as applicable, are met for such direct exposures.

1.1 Referenzen

1.2 Identifizierte Anforderungen

1.3 Zugehörige Standards

2. Identifizierte Anforderungen

Anforderungen

3. Zugehörige Standards

Standards