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:
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E
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= 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);
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GA
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= 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;
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r
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= the risk weight of exposures to the obligor as specified in Chapter 2;
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g
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= the risk weight applicable to a direct exposure to the protection provider as specified in Chapter 2.
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