in force 2025-01-01 MODIFIED+655 −204§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The article heading changes from a general reference to the Standardised Approach to specifying the substitution approach where the guaranteed exposure is treated under the Standardised Approach.
Paragraph 1 now specifies that the formula applies to exposures with unfunded credit protection where institutions apply the Standardised Approach irrespective of the treatment of a comparable direct exposure to the protection provider, changes the Annex I off-balance-sheet reference from Article 111(1) to Article 111(2), describes GA as credit protection adjusted for foreign exchange risk rather than simply credit risk protection, and defines g as the risk weight applicable to a direct exposure to the protection provider rather than exposures to the protection provider generally.
Paragraph 3 now describes the extended treatment as applying as if the guaranteed exposures were direct exposures to the central government or central bank, and adds that the conditions set out in Article 114(4) or (7), as applicable, must be met for such direct exposures, removing the prior condition tying the extension to the guarantee being denominated in and the exposure funded in the borrower's domestic currency.
Cited: Art. 235, v2 · Art. 235, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 235
Calculating risk-weighted exposure amounts under the substitution approach where the guaranteed exposure is treated under the Standardised Approach
1. For the purposes of Article 113(3) 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 formula:
max {0, E – GA} · r + GA rGA · g
where:
E
= the exposure value calculated in accordance with Article 111; for this that purpose, the exposure value of an off-balance sheet off-balance-sheet item listed in Annex I shall be 100 % of its value rather than the exposure value indicated in Article 111(1); 111(2);
GA
= the amount of credit protection adjusted for foreign exchange risk protection (G*) as calculated under Article 233(3) (G*) further adjusted for any maturity mismatch as laid down in Section 5; 5 of this Chapter;
r
= the risk weight of exposures to the obligor as specified under in Chapter 2;
g
= the risk weight of exposures applicable to a direct exposure to the protection provider as specified under in Chapter 2.
2. Where the protected amount (GA) is less than the exposure (E), institutions may apply the formula specified in paragraph 1 only where the protected and unprotected parts of the exposure are of equal seniority.
3. Institutions may extend the preferential treatment set out in Article 114(4) and (7) (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, where provided that the guarantee is denominated conditions set out in the domestic currency of the borrower and the exposure is funded in that currency. Article 114(4) or (7), as applicable, are met for such direct exposures.