2.2. Calculating risk‐weighted exposure amounts and expected loss amounts

Where the credit institution transfers a part of the risk of a loan in one or more tranches, the rules set out in Articles 94 to 101 shall apply. Materiality thresholds on payments below which no payment shall be made in the event of loss are considered to be equivalent to retained first loss positions and to give rise to a tranched transfer of risk. For the purposes of Article 80, g shall be the risk weight to be assigned to an exposure which is fully protected by unfunded protection (G_(A)), where: g is the risk weight of exposures to the protection provider as specified under Articles 78 to 83; and G_(A) is the value of G* as calculated under point 84 further adjusted for any maturity mismatch as laid down in Part 4. Where the protected amount is less than the exposure value and the protected and unprotected parts are of equal seniority — i.e. the credit institution and the protection provider share losses on a pro-rata basis, proportional regulatory capital relief shall be afforded. For the purposes of Article 80, risk‐weighted exposure amounts shall be calculated in accordance with the following formula: (E-G_(A)) x r + G_(A) x g where: E is the exposure value; G_(A) is the value of G* as calculated under point 84 further adjusted for any maturity mismatch as laid down in Part 4; r is the risk weight of exposures to the obligor as specified under Articles 78 to 83; and g is the risk weight of exposures to the protection provider as specified under Articles 78 to 83. The competent authorities may extend the treatment provided for in Annex VI, Part 1, points 4 and 5 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. Full protection/Partial protection — equal seniority For the covered portion of the exposure (based on the adjusted value of the credit protection G_(A)), the PD for the purposes of Annex VII, Part 2 may be the PD of the protection provider, or a PD between that of the borrower and that of the guarantor if a full substitution is deemed not to be warranted. In the case of subordinated exposures and non‐subordinated unfunded protection, the LGD to be applied for the purposes of Annex VII, Part 2 may be that associated with senior claims. For any uncovered portion of the exposure the PD shall be that of the borrower and the LGD shall be that of the underlying exposure. G_(A) is the value of G* as calculated under point 84 further adjusted for any maturity mismatch as laid down in Part 4.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.