+Article 235a 1.

Article 235a 1.

For exposures with unfunded credit protection to which an institution applies the IRB Approach set out in Chapter 3 and where comparable direct exposures to the protection provider are treated under the Standardised Approach, institutions shall calculate the risk-weighted exposure amounts in accordance with the following formula:

max {0, E – GA} · r + GA · g

where:

E

= the exposure value determined in accordance with Chapter 3, Section 5; for that purpose, institutions shall calculate the exposure value for off-balance-sheet items other than derivatives treated under the IRB Approach using a CCF of 100 % instead of the SA-CCFs or IRB-CCF provided for in Article 166(8), (8a) and (8b);

GA

= the amount of credit protection adjusted for foreign exchange risk (G*) as calculated in accordance with 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 3;

g

= the risk weight applicable to a direct exposure to the protection provider as specified in Chapter 2.

1. Overview

,

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
  • EULAW -

    EN: Legal acts of the European Union from EUR-Lex, https://eur-lex.europa.eu/. © European Union. Re-use is authorised by Decision 2011/833/EU, provided the source is acknowledged; the consolidated texts are licensed under CC BY 4.0 (EUR-Lex legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the legislation published in the Official Journal of the European Union is deemed authentic.

    DE: Rechtsakte der Europäischen Union aus EUR-Lex, https://eur-lex.europa.eu/. © Europäische Union. Weiterverwendung nach Beschluss 2011/833/EU mit Quellenangabe gestattet; die konsolidierten Fassungen stehen unter CC BY 4.0 (Rechtlicher Hinweis von EUR-Lex). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Verbindlich sind allein die im Amtsblatt der Europäischen Union veröffentlichten Rechtsakte.