44. For the purposes of applying the substitution of risk parameters approach and calculating the …

For the purposes of applying the substitution of risk parameters approach and calculating the risk weight floor, the value of unfunded credit protection should be the following:

• (a) The value of the unfunded credit protection should be specified in accordance with Article 233 and Article 239(3) of Regulation (EU) No 575/2013. Any potential maturity mismatch should be considered in the adjusted value of the unfunded credit protection in accordance with Article 239(3) of that Regulation, whereas the maturity of comparable direct exposures to the guarantor should be the same as the maturity of the exposure to the obligor.
• (b) If the unfunded credit protection covers the value of the exposure remaining after pursuing the obligor, and, if relevant, any other forms of credit risk mitigation, institutions should estimate the value of the protection based on past experience in a conservative manner.
• (c) The value of the unfunded credit protection meeting the requirements of the second subparagraph of Article 215(1)(a) or Article 215(2) of Regulation (EU) No 575/2013 may be the maximum amount that the protection provider has undertaken to pay in the event of default or non-payment of the borrower or on the occurrence of other specified credit events.

1. Overview

1.1 References

• Article 239 3.
• Article 215 2.

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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