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Capital Requirements Regulation (CRR)
Article 5

Article 5 - Definitions specific to capital requirements for credit risk

Status
In force
Selected consolidated version from
30/09/2021
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Article 5

Definitions specific to capital requirements for credit risk

For the purposes of Part Three, Title II, the following definitions shall apply:

(1) 

‘exposure’ means an asset or off-balance sheet item;

(2) 

‘loss’ means economic loss, including material discount effects, and material direct and indirect costs associated with collecting on the instrument;

(3) 

‘expected loss’ or ‘EL’ means the ratio of the amount expected to be lost on an exposure from a potential default of a counterparty or dilution over a one-year period to the amount outstanding at default.



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