Article 235

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 4 > Section 4 > Sub-Section 2 > Article 235
Title:
Article 235
Description: 
Calculating risk-weighted exposure amounts under the Standardised Approach
Main content: 

1. For the purposes of Article 113(3) institutions shall calculate the risk-weighted exposure amounts in accordance with the following formula:

where:

E=the exposure value in accordance with Article 111; for this 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(1);
GA=the amount of credit risk protection as calculated under Article 233(3) (G*) further adjusted for any maturity mismatch as laid down in Section 5;
r=the risk weight of exposures to the obligor as specified under Chapter 2;
g=the risk weight of exposures to the protection provider as specified under 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 treatment set out in Article 114(4) and (7) to exposures or parts of exposures guaranteed by the central government or central bank, where the guarantee is denominated in the domestic currency of the borrower and the exposure is funded in that currency.