2. VALUATION OF PROTECTION

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

Where there is a mismatch between the maturity of the exposure and the maturity of the protection, the collateral shall not be recognised. The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the collateral according to the following formula: C_(VAM) = C_(VA) x (t-t*)/(T-t*) where: C_(VA) is the volatility adjusted value of the collateral as specified in Part 3, point 33 or the amount of the exposure, whichever is the lowest; t is the number of years remaining to the maturity date of the credit protection calculated in accordance with points 3 to 5, or the value of T, whichever is the lower; T is the number of years remaining to the maturity date of the exposure calculated in accordance with points 3 to 5, or 5 years, whichever is the lower; and t* is 0,25. C_(VAM) shall be taken as C_(VA) further adjusted for maturity mismatch to be included in the formula for the calculation of the fully adjusted value of the exposure (E*) set out at Part 3, point 33. The maturity of the credit protection and that of the exposure must be reflected in the adjusted value of the credit protection according to the following formula G_(A) = G* x (t-t*)/(T-t*) where: G* is the amount of the protection adjusted for any currency mismatch G_(A) is G* adjusted for any maturity mismatch t is the number of years remaining to the maturity date of the credit protection calculated in accordance with points 3 to 5, or the value of T, whichever is the lower; T is the number of years remaining to the maturity date of the exposure calculated in accordance with points 3 to 5, or 5 years, whichever is the lower; and t* is 0,25. G_(A) is then taken as the value of the protection for the purposes of Part 3, points 83 to 92.

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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.