2.3. Transactions subject to unfunded credit 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

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.