(e)

the following points are added: ; “PD/LGD modelling adjustment approach” means an adjustment of the LGD or modelling an adjustment of both the PD and the LGD of the underlying exposure; “protection-provider-RW-floor” means the risk weight applicable to a comparable, direct exposure to the protection provider; for an exposure to which an institution applies the IRB Approach by using its own estimates of LGD under Article 143, “recognised” unfunded credit protection means an unfunded credit protection whose effect on the calculation of risk-weighted exposure amounts or expected loss amounts of the underlying exposure is taken into account with one of the following methods, in accordance with Article 108(3): PD/LGD modelling adjustment approach; substitution of risk parameters approach under A-IRB as defined in Article 192, point (5); “SA-CCF” means the percentage applicable under Chapter 2 in accordance with Article 111(2); “IRB-CCF” means own estimates of credit conversion factor.’

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.