Principles for recognising the effect of credit risk mitigation techniques - CRD Provision

Regulatory Capital Anatomy™ The JC’s untutored thoughts on how bank capital works. Go Premium Full text of Art 193: Principles for recognising the effect of credit risk mitigation techniques 1. No exposure in respect of which an institution obtains credit risk mitigation shall produce a higher risk-weighted exposure amount or expected loss amount than an otherwise identical exposure in respect of which an institution has no credit risk mitigation. 2. Where the risk-weighted exposure amount already takes account of credit protection under Chapter 2 or Chapter 3, as applicable, institutions shall not take into account that credit protection in the calculations under this Chapter. 3. Where the provisions in Sections 2 and 3 are met, institutions may amend the calculation of risk-weighted exposure amounts under the Standardised Approach and the calculation of risk-weighted exposure amounts and expected loss amounts under the IRB Approach in accordance with the provisions of Sections 4, 5 and 6. 4. Institutions shall treat cash, securities or commodities purchased, borrowed or received under a repurchase transaction or securities or commodities lending or borrowing transaction as collateral. 5. Where an institution calculating risk-weighted exposure amounts under the Standardised Approach has more than one form of credit risk mitigation covering a single exposure it shall do both of the following: (a) subdivide the exposure into parts covered by each type of credit risk mitigation tool; (b) calculate the risk-weighted exposure amount for each part obtained in point (a) separately in accordance with the provisions of Chapter 2 and this Chapter. 6. When an institution calculating risk-weighted exposure amounts under the Standardised Approach covers a single exposure with credit protection provided by a single protection provider and that protection has differing maturities, it shall do both of the following: (a) subdivide the exposure into parts covered by each credit risk mitigation tool; (b) calculate the risk-weighted exposure amount for each part obtained in point (a) separately in accordance with the provisions of Chapter 2 and this Chapter. view template Capital Requirements Regulation: 575/2013/ (EUR Lex) | BIS publications: BIS capital requirements for bank exposures to central counterparties | leverage ratio | RWA | portfolio risk | systemic riskIndex: Click ᐅ to expand: Regulatory Capital Comments? Questions? Suggestions? Requests? Insults? We’d love to 📧 hear from you. Sign up for our newsletter.