Updated 26/09/2023
In force

Version from: 28/06/2023
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CRR ToolCapital Requirements Regulation (CRR)
Article 165

Article 165 - Equity exposures subject to the PD/LGD method

Article 165

Equity exposures subject to the PD/LGD method

1.  
PDs shall be determined in accordance with the methods for corporate exposures.

The following minimum PDs shall apply:

(a) 

0,09 % for exchange traded equity exposures where the investment is part of a long-term customer relationship;

(b) 

0,09 % for non-exchange traded equity exposures where the returns on the investment are based on regular and periodic cash flows not derived from capital gains;

(c) 

0,40 % for exchange traded equity exposures including other short positions as set out in Article 155(2);

(d) 

1,25 % for all other equity exposures including other short positions as set out in Article 155(2).

2.  
Private equity exposures in sufficiently diversified portfolios may be assigned an LGD of 65 %. All other such exposures shall be assigned an LGD of 90 %.
3.  
M assigned to all exposures shall be five years.