Article 239 › 3

For transactions subject to unfunded credit protection, institutions shall reflect the maturity of the credit protection and of the exposure in the adjusted value of the credit protection according to the following formula: where: GA G* adjusted for any maturity mismatch; G* the amount of the protection adjusted for any currency mismatch; t is 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 is 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 GA as the value of the protection for the purposes of Articles 233 to 236.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04