Article 158
Treatment by exposure type
1.
2.
The expected loss amounts for securitised exposures shall be calculated in accordance with Chapter 5.
3.
The expected loss amount for exposures belonging to the ‘other non credit obligations assets’ exposure class referred to in point (g) of Article 147(2) shall be zero.
4.
The expected loss amounts for exposures in the form of shares or units of a CIU referred to in Article 152 shall be calculated in accordance with the methods set out in this Article.
5.
The expected loss (EL) and expected loss amounts for exposures to corporates, institutions, central governments and central banks and retail exposures shall be calculated in accordance with the following formulae:
Expected loss (EL) = PD * LGD
|
Expected loss amount |
= |
For defaulted exposures (PD = 100 %) where institutions use own estimates of LGDs, EL shall be ELBE, the institution's best estimate of expected loss for the defaulted exposure in accordance with Article 181(1)(h).
For exposures subject to the treatment set out in Article 153(3), EL shall be 0 %.
6.
The EL values for specialised lending exposures where institutions use the methods set out in Article 153(5) for assigning risk weights shall be assigned in accordance with Table 2.
Table 2
|
Remaining Maturity |
Category 1 |
Category 2 |
Category 3 |
Category 4 |
Category 5 |
|
Less than 2,5 years |
0 % |
0,4 % |
2,8 % |
8 % |
50 % |
|
Equal to or more than 2,5 years |
0,4 % |
0,8 % |
2,8 % |
8 % |
50 % |
7.
The expected loss amounts for equity exposures where the risk-weighted exposure amounts are calculated in accordance with the simple risk weight approach shall be calculated in accordance with the following formula:
Expected loss amount = EL · exposure value
The EL values shall be the following:
Expected loss (EL) = 0,8 % for private equity exposures in sufficiently diversified portfolios
Expected loss (EL) = 0,8 % for exchange traded equity exposures
Expected loss (EL) = 2,4 % for all other equity exposures.
8.
The expected loss and expected loss amounts for equity exposures where the risk-weighted exposure amounts are calculated in accordance with the PD/LGD approach shall be calculated in accordance with the following formula:
Expected loss (EL) = PD · LGD
Expected loss amount = EL · exposure value
9.
The expected loss amounts for equity exposures where the risk-weighted exposure amounts are calculated in accordance with the internal models approach shall be zero.
9a.
The expected loss amount for a minimum value commitment that meets all the requirements set out in Article 132c(3) shall be zero.
10.
The expected loss amounts for dilution risk of purchased receivables shall be calculated in accordance with the following formula:
Expected loss (EL) = PD · LGD
Expected loss amount = EL · exposure value