+Articolul 235a Calcularea cuantumurilor ponderate la risc ale expunerilor și a cuantumurilor pierderilor așteptate în conformitate cu metoda substituției atunci când expunerea garantată este tratată conform abordării IRB, iar o expunere directă comparabilă față de furnizorul de protecție este tratată conform abordării standardizate
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Articolul 235a Calcularea cuantumurilor ponderate la risc ale expunerilor și a cuantumurilor pierderilor așteptate în conformitate cu metoda substituției atunci când expunerea garantată este tratată conform abordării IRB, iar o expunere directă comparabilă față de furnizorul de protecție este tratată conform abordării standardizate

1. Prezentare generală

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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.
Article 235a 2.
Where the amount of credit protection (GA) is less than the exposure value (E), institutions may apply the formula specified in paragraph 1 only where the protected and unprotected parts of the exposure are of equal seniority.
Article 235a 3.
Institutions may extend the preferential treatment set out in Article 114(4) and (7), to exposures or parts of exposures guaranteed by the central government or the central bank as if those exposures were direct exposures to the central government or the central bank, provided that the conditions set out in Article 114(4) or (7), as applicable, are met for such direct exposures.
Article 235a 4.
The expected loss amount for the covered part of the exposure value shall be zero.
Article 235a 5.
For any uncovered part of the exposure value (E), institutions shall use the risk weight and the expected loss corresponding to the underlying exposure. For the calculation set out in Article 159, institutions shall assign any general or specific credit risk adjustments or additional value adjustments in accordance with Article 34 related to the non-trading book business of the institution or other own funds reductions related to the exposure other than the deductions made in accordance with Article 36(1), point (m), to the uncovered part of the exposure value.

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde