2.

For transactions subject to funded credit protection under the Financial Collateral Comprehensive Method, institutions shall reflect the maturity of the credit protection and of the exposure in the adjusted value of the collateral according to the following formula: C_(VAM) = C_(VA) · (t – t^(*) / T – t^(*)) where: C_(VA)= the volatility adjusted value of the collateral as specified in Article 223(2) or the amount of the exposure, whichever is lower; t= the number of years remaining to the maturity date of the credit protection calculated in accordance with Article 238, or the value of T, whichever is lower; T= the number of years remaining to the maturity date of the exposure calculated in accordance with Article 238, or five years, whichever is lower; t*= 0,25. Institutions shall use C_(VAM) as C_(VA) further adjusted for maturity mismatch in the formula for the calculation of the fully adjusted value of the exposure (E*) set out in Article 223(5).

← art_239__para_1__text_1 · All articles · art_239__para_2__text_1 →

Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.