in force 2025-01-01 MODIFIED+1,440 −337§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Paragraph 1 now lists the exposure classes it covers with more granular sub-point references, including new points such as (aa)(i) or (ii), (c)(i) to (iii) and (d)(i) to (iv), instead of the earlier simple range from point (a) to (e) and (g).
Paragraph 7 no longer refers only to LGD and conversion factor estimates for the exposure class in point (d); it now addresses retail exposures generally, referencing own estimates of LGD and IRB-CCF under Article 166(8) and (8b), and adds a rule requiring use of SA-CCFs where IRB-CCF is not permitted.
Paragraph 8 is restructured into a lettered list identifying specific exposures (to the class in point (b), to financial sector entities, and to large corporates outside point (c)(ii)) requiring LGD values and SA-CCFs, followed by a second subparagraph covering points (a), (aa)(i) or (ii) and (c)(i) to (iii) with a cross-reference to paragraph 9, while paragraph 9 and the new paragraph 11 correspondingly reference these revised categories and add a treatment for CIU shares or units under point (ea).
Cited: Art. 151, v1 · Art. 151, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 151
Treatment by exposure class
1. The risk-weighted exposure amounts for credit risk for exposures belonging to one of the exposure classes referred to in Article 147(2), points (a) to (e) and point (a), point (aa)(i) or (ii), point (b), point (c)(i), (ii) or (iii), point (d)(i), (ii), (iii) or (iv) or point (g), shall, unless those exposures are deducted from own funds or are subject to the treatment set out in Article 72e(5), first subparagraph, be calculated in accordance with Sub-section 2.
2. The risk-weighted exposure amounts for dilution risk for purchased receivables shall be calculated in accordance with Article 157. Where an institution has full recourse to the seller of purchased receivables for default risk and for dilution risk, the provisions of this Article and Article 152 and Article 158(1) to (4) in relation to purchased receivables shall not apply and the exposure shall be treated as a collateralised exposure.
3. The calculation of risk-weighted exposure amounts for credit risk and dilution risk shall be based on the relevant parameters associated with the exposure in question. These shall include PD, LGD, maturity (hereinafter referred to as M) and exposure value of the exposure. PD and LGD may be considered separately or jointly, in accordance with Section 4.
4. Institutions shall calculate risk-weighted exposure amounts for credit risk for all exposures belonging to the exposure class equity referred to in point (e) of Article 147(2) in accordance with Article 155. Institutions may use the approaches set out in Article 155(3) and (4) where they have received the prior permission of the competent authorities. Competent authorities shall grant permission for an institution to use the internal models approach set out in Article 155(4) provided that the institution meets the requirements set out in Sub-section 4 of Section 6.
5. The calculation of risk weighted exposure amounts for credit risk for specialised lending exposures may be calculated in accordance with Article 153(5).
6. For exposures belonging to the exposure classes referred to in points (a) to (d) of Article 147(2), institutions shall provide their own estimates of PDs in accordance with Article 143 and Section 6.
7. For exposures belonging to the exposure class referred to in point (d) of Article 147(2), retail exposures, institutions shall provide own estimates of LGDs LGD, and conversion factors IRB-CCF where applicable pursuant to Article 166(8) and (8b), in accordance with Article 143 and Section 6.
Institutions shall use SA-CCFs where Article 166(8) and (8b) do not allow for the use of IRB-CCF.
8. For the following exposures, institutions shall apply the LGD values set out in Article 161(1) and SA-CCFs in accordance with Article 166(8), (8a) and (8b):
(a) exposures assigned to the exposure class referred to in Article 147(2), point (b);
(b) exposures to financial sector entities other than those referred to in point (a) of this subparagraph;
(c) exposures to large corporates not assigned to the exposure class referred to in Article 147(2), point (c)(ii).
For exposures belonging to the exposure classes referred to in points (a) to (c) of Article 147(2), point (a), point (aa)(i) or (ii) or point (c)(i), (ii) or (iii), except for the exposures referred to in the first subparagraph of this paragraph, institutions shall apply the LGD values set out in Article 161(1), 161(1) and the conversion factors set out SA-CCFs in accordance with Article 166(8)(a) to (d), 166(8), (8a) and (8b), unless it has they have been permitted to use its their own estimates of LGDs LGD and conversion factors IRB-CCF for those exposure classes exposures in accordance with paragraph 9. 9 of this Article.
9. For all the exposures belonging to the exposure classes referred to in points (a) to (c) paragraph 8, second subparagraph, of Article 147(2), this Article, the competent authority shall permit institutions to use own estimates of LGDs LGD, and conversion factors IRB-CCF where applicable pursuant to Article 166(8) and (8b), in accordance with Article 143 and Section 6.
10. The risk-weighted exposure amounts for securitised exposures and for exposures belonging to the exposure class referred to in point (f) of Article 147(2) shall be calculated in accordance with Chapter 5.11. For exposures in the form of shares or units in a CIU belonging to the exposure class referred to in Article 147(2), point (ea), institutions shall apply the treatment set out in Article 152, unless those exposures are deducted from own funds or are subject to the treatment set out in Article 72e(5), first subparagraph.