Updated 25/06/2024
In force

Version from: 09/01/2024
Amendments (1)
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Article 228 - Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method

Attention! This article will be amended on 01/01/2025. Please consult Regulation 2024/1623 to review the changes that will be made to the article.

Article 228

Calculating risk-weighted exposure amounts and expected loss amounts under the Financial Collateral Comprehensive method

1.  
Under the Standardised Approach, institutions shall use E* as calculated under Article 223(5) as the exposure value for the purposes of Article 113. In the case of off-balance sheet items listed in Annex I, institutions shall use E* as the value to which the percentages indicated in Article 111(1) shall be applied to arrive at the exposure value.
2.  

Under the IRB Approach, institutions shall use the effective LGD (LGD*) as the LGD for the purposes of Chapter 3. Institutions shall calculate LGD* as follows:

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where:

LGD

=

the LGD that would apply to the exposure under Chapter 3 where the exposure was not collateralised;

E

=

the exposure value in accordance with Article 223(3);

E*

=

the fully adjusted exposure value in accordance with Article 223(5).