+CHAPTER 4 Credit risk mitigation
---+Section 1 Definitions and general requirements
------+Article 192 Definitions
------+Article 193 Principles for recognising the effect of credit risk mitigation techniques
---------+Article 193 1.
---------+Article 193 2.
---------+Article 193 3.
---------+Article 193 4.
---------+Article 193 5.
---------+Article 193 6.
---------+Article 193 7.
------+Article 194 Principles governing the eligibility of credit risk mitigation techniques
---------+Article 194 1.
---------+Article 194 2.
---------+Article 194 3.
---------+Article 194 4.
---------+Article 194 5.
---------+Article 194 6.
---------+Article 194 7.
---------+Article 194 8.
---------+Article 194 9.
---+Section 2 Eligible forms of credit risk mitigation
------+Sub-Section 1 Funded credit protection
---------+Article 195 On-balance sheet netting
---------+Article 196 Master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market-driven transactions
---------+Article 197 Eligibility of collateral under all approaches and methods
------------+Article 197 1.
------------+Article 197 2.
------------+Article 197 3.
------------+Article 197 4.
------------+Article 197 5.
------------+Article 197 6.
------------+Article 197 7.
------------+Article 197 8.
---------+Article 198 Additional eligibility of collateral under the Financial Collateral Comprehensive Method
------------+Article 198 1.
------------+Article 198 2.
---------+Article 199 Additional eligibility for collateral under the IRB Approach
------------+Article 199 1.
------------+Article 199 2.
------------+Article 199 3.
------------+Article 199 4.
------------+Article 199 4a.
------------+Article 199 5.
------------+Article 199 6.
------------+Article 199 7.
------------+Article 199 8.
---------+Article 200 Other funded credit protection
------+Sub-Section 2 Unfunded credit protection
---------+Article 201 Eligibility of protection providers under all approaches
------------+Article 201 1.
------------+Article 201 2.
---------+Article 203 Eligibility of guarantees as unfunded credit protection
------+Sub-Section 3 Types of derivatives
---------+Article 204 Eligible types of credit derivatives
------------+Article 204 1.
------------+Article 204 2.
------------+Article 204 3.
---------+Article 204a Eligible types of equity derivatives
------------+Article 204a 1.
------------+Article 204a 2.
---+Section 3 Requirements
------+Sub-Section 1 Funded credit protection
---------+Article 205 Requirements for on-balance sheet netting agreements other than master netting agreements referred to in Article 206
---------+Article 206 Requirements for master netting agreements covering repurchase transactions or securities or commodities lending or borrowing transactions or other capital market driven transactions
---------+Article 207 Requirements for financial collateral
------------+Article 207 1.
------------+Article 207 2.
------------+Article 207 3.
------------+Article 207 4.
------------+Article 207 5.
---------+Article 208 Requirements for immovable property collateral
------------+Article 208 1.
------------+Article 208 2.
------------+Article 208 3.
------------+Article 208 3a.
------------+Article 208 4.
------------+Article 208 5.
---------+Article 209 Requirements for receivables
------------+Article 209 1.
------------+Article 209 2.
------------+Article 209 3.
---------+Article 210 Requirements for other physical collateral
---------+Article 211 Requirements for treating lease exposures as collateralised
---------+Article 212 Requirements for other funded credit protection
------------+Article 212 1.
------------+Article 212 2.
------+Sub-Section 2 Unfunded credit protection and credit linked notes
---------+Article 213 Requirements common to guarantees and credit derivatives
------------+Article 213 1.
------------+Article 213 2.
------------+Article 213 3.
---------+Article 214 Sovereign and other public sector counter-guarantees
------------+Article 214 1.
------------+Article 214 2.
------------+Article 214 3.
---------+Article 215 Additional requirements for guarantees
------------+Article 215 1.
------------+Article 215 2.
---------+Article 216 Additional requirements for credit derivatives
------------+Article 216 1.
------------+Article 216 2.
------------+Article 216 3.
---+Section 4 Calculating the effects of credit risk mitigation
------+Sub-Section 1 Funded credit protection
---------+Article 218 Credit linked notes
---------+Article 219 On-balance-sheet netting
---------+Article 220 Using the Supervisory Volatility Adjustments Approach for master netting agreements
------------+Article 220 1.
------------+Article 220 2.
------------+Article 220 3.
------------+Article 220 4.
------------+Article 220 5.
---------+Article 221 Using the internal models approach for master netting agreements
------------+Article 221 1.
------------+Article 221 2.
------------+Article 221 3.
------------+Article 221 4.
------------+Article 221 5.
------------+Article 221 6.
------------+Article 221 7.
------------+Article 221 9.
---------+Article 222 Financial Collateral Simple Method
------------+Article 222 1.
------------+Article 222 2.
------------+Article 222 3.
------------+Article 222 4.
------------+Article 222 5.
------------+Article 222 6.
------------+Article 222 7.
---------+Article 223 Financial Collateral Comprehensive Method
------------+Article 223 1.
------------+Article 223 2.
------------+Article 223 3.
------------+Article 223 4.
------------+Article 223 5.
------------+Article 223 6.
------------+Article 223 7.
---------+Article 224 Supervisory volatility adjustment under the Financial Collateral Comprehensive Method
------------+Article 224 1.
------------+Article 224 2.
------------+Article 224 3.
------------+Article 224 4.
------------+Article 224 5.
------------+Article 224 6.
---------+Article 226 Scaling up of volatility adjustment under the Financial Collateral Comprehensive Method
---------+Article 227 Conditions for applying a 0 % volatility adjustment under the Financial Collateral Comprehensive Method
------------+Article 227 1.
------------+Article 227 2.
------------+Article 227 3.
---------+Article 228 Calculating risk-weighted exposure amounts under the Financial Collateral Comprehensive method for exposures treated under the Standardised Approach
---------+Article 229 Valuation principles for eligible collateral other than financial collateral
------------+Article 229 1.
------------+Article 229 2.
------------+Article 229 3.
------------+Article 229 4.
---------+Article 230 Calculating risk-weighted exposure amounts and expected loss amounts for an exposure with an eligible funded credit protection under the IRB Approach
------------+Article 230 1.
------------+Article 230 2.
------------+Article 230 3.
------------+Article 230 4.
------------+Article 230 5.
---------+Article 231 Calculating risk-weighted exposure amounts and expected loss amounts in the case of pools of eligible funded credit protection for an exposure treated under the IRB Approach
---------+Article 232 Other funded credit protection
------------+Article 232 1.
------------+Article 232 2.
------------+Article 232 3.
------------+Article 232 4.
------+Sub-Section 2 Unfunded credit protection
---------+Article 233 Valuation
------------+Article 233 1.
------------+Article 233 2.
------------+Article 233 3.
------------+Article 233 4.
---------+Article 234 Calculating risk-weighted exposure amounts and expected loss amounts in the event of partial protection and tranching
---------+Article 235 Calculating risk-weighted exposure amounts under the substitution approach where the guaranteed exposure is treated under the Standardised Approach
------------+Article 235 1.
------------+Article 235 2.
------------+Article 235 3.
---------+Article 235a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach and a comparable direct exposure to the protection provider is treated under the Standardised Approach
------------+Article 235a 1.
------------+Article 235a 2.
------------+Article 235a 3.
------------+Article 235a 4.
------------+Article 235a 5.
---------+Article 236 Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach without the use of own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach
------------+Article 236 1.
------------+Article 236 1a.
------------+Article 236 1b.
------------+Article 236 1c.
------------+Article 236 1d.
------------+Article 236 2.
------------+Article 236 3.
---------+Article 236a Calculating risk-weighted exposure amounts and expected loss amounts under the substitution approach where the guaranteed exposure is treated under the IRB Approach using own estimates of LGD and a comparable direct exposure to the protection provider is treated under the IRB Approach
------------+Article 236a 1.
------------+Article 236a 2.
------------+Article 236a 3.
------------+Article 236a 4.
------------+Article 236a 5.
---+Section 5 Maturity mismatches
------+Article 237 Maturity mismatch
---------+Article 237 1.
---------+Article 237 2.
------+Article 238 Maturity of credit protection
---------+Article 238 1.
---------+Article 238 2.
---------+Article 238 3.
------+Article 239 Valuation of protection
---------+Article 239 1.
---------+Article 239 2.
---------+Article 239 3.

CHAPTER 4 Credit risk mitigation

CHAPTER 4 Credit risk mitigation

1. Overview

,
Section 1 Definitions and general requirements Section 1 Definitions and general requirements
Section 2 Eligible forms of credit risk mitigation Section 2 Eligible forms of credit risk mitigation
Section 3 Requirements Section 3 Requirements
Section 4 Calculating the effects of credit risk mitigation Section 4 Calculating the effects of credit risk mitigation
Section 5 Maturity mismatches Section 5 Maturity mismatches

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • Builddate: 01.01.2027 00:00:00 -Doknr: CELEX:32013R0575
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