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, regional governments, local authorities and public sector entities and retail exposures shall be calculated in accordance with the following formulae:
expected loss (EL) = PD * LGD
expected loss amount = EL [multiplied by] exposure value.
For defaulted exposures (PD = 100 %) where institutions use own estimates of LGD, EL shall be ELBE, the institution’s best estimate of expected loss for the defaulted exposure in accordance with Article 181(1), point (h).
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 % |
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