45. Institutions should calculate the risk weight floor in the following manner: (a) Where the …

Institutions should calculate the risk weight floor in the following manner:

• (a) Where the exposure benefits from multiple unfunded credit protection, each providing protection to different parts of the exposure, institutions should calculate the risk weight floor as the exposure-weighted average of the risk weights of comparable direct exposures to each of the guarantors.
• (b) Where the exposure benefits from multiple unfunded credit protection, and where two or more of these are providing protection to the same part of the exposure, institutions should calculate the risk weight floor for this part of the exposure as the lowest of the risk weights of each comparable direct exposure to the guarantor. In the calculation of each risk weight, the LGD of a comparable direct exposure to each of the guarantors may consider the effect of the other existing unfunded credit protection.
• (c) Where any part of the exposure is not covered by any unfunded credit protection, institutions should assign to this part of the exposure the risk weight applicable to such exposure to the obligor without any unfunded credit protection; in this case they should calculate the risk weight floor as the exposure-weighted average of the risk weight applicable to the part of the exposure covered by the unfunded credit protection and the risk weight applicable to the remaining part of the exposure.
• (d) For the purposes of calculating the exposure-weighted average risk weight in accordance with points ((a) and ((c), each risk weight should be calculated separately and weighted by the relevant share of the exposure value.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.