Interactive Single Rulebook

The Interactive Single Rulebook is an on-line tool that provides a comprehensive compendium of  the level 1 text for the Capital Requirements Regulation (CRR) and the Capital Requirements Directive (CRD IV); Bank Recovery and Resolution Directive (BRRD); the Deposit Guarantee Schemes Directive (DGSD); and the Payments Services Directive (PSD2)  the corresponding technical standards developed by the European Banking Authority (EBA) and adopted by the European Commission (RTS and ITS), as well as the EBA Guidelines and related Q&As.
 
The purpose of the Single Rulebook is to ensure the consistent application of the regulatory banking framework across the EU.
 
This Interactive Single Rulebook is meant purely as a documentation tool and the EBA does not assume any liability for its contents. For the authentic version of EU legislation users should refer to the Official Journal of the European Union.
 
Please click on the relevant legislative text to see technical standards, guidelines and Q&As relating to each Article.
 
 
 

Interactive Single Rulebook

Path Capital Requirements Regulation > PART THREE > TITLE II > CHAPTER 4 > Section 5 > Article 239 (Copy link to article)
Title Article 239
Description Valuation of protection
Main content
1.   For transactions subject to funded credit protection under the Financial Collateral Simple Method, where there is a mismatch between the maturity of the exposure and the maturity of the protection, the collateral does not qualify as eligible funded credit protection.
 
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 in accordance with the following formula:
Institutions shall use CVAM as CVA 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).
 
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 in accordance with the following formula:
Institutions shall use GA as the value of the protection for the purposes of Articles 233 to 236.
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