2.

The credit institutions applying credit risk mitigation techniques shall disclose the following information: the policies and processes for, and an indication of the extent to which the entity makes use of, on- and off-balance sheet netting; the policies and processes for collateral valuation and management; a description of the main types of collateral taken by the credit institution; the main types of guarantor and credit derivative counterparty and their creditworthiness; information about market or credit risk concentrations within the credit mitigation taken; for credit institutions calculating risk‐weighted exposure amounts in accordance with Articles 78 to 83 or 84 to 89, but not providing own estimates of LGDs or conversion factors in respect of the exposure class, separately for each exposure class, the total exposure value (after, where applicable, on- or off-balance sheet netting) that is covered — after the application of volatility adjustments — by eligible financial collateral, and other eligible collateral; and for credit institutions calculating risk‐weighted exposure amounts in accordance with Articles 78 to 83 or 84 to 89, separately for each exposure class, the total exposure (after, where applicable, on- or off-balance sheet netting) that is covered by guarantees or credit derivatives. For the equity exposure class, this requirement applies to each of the approaches provided in Annex VII, Part 1, points 17 to 26.

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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.