Article 158
Treatment by exposure type
1. The calculation of expected loss amounts shall be based on the same input figures of PD, LGD and the exposure value for each exposure as are used for the calculation of risk-weighted exposure amounts in accordance with Article 151.
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 according to the following formulae:
|
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 according to 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 according to simple risk weight approach shall be calculated according to the following formula:
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 according to the PD/LGD approach shall be calculated according to the following formulae:
9. The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the internal models approach shall be zero.
10. The expected loss amounts for dilution risk of purchased receivables shall be calculated according to the following formula: