in force 2025-01-01 MODIFIED+662 −445§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
The article's title and the scope of paragraph 1 have been broadened from covering exposures to corporates, institutions and central governments and central banks to also expressly cover exposures to regional governments, local authorities and public sector entities, alongside the others.
Paragraph 1 no longer references paragraph 3 among the specific treatments subject to which the risk-weighted exposure amounts are calculated, and the maturity variable M is now separately defined as the maturity expressed in years determined in accordance with Article 162.
Paragraph 2 has been reworded to refer to exposures to large regulated financial sector entities and to unregulated financial sector entities and to state that the coefficient of correlation R referred to in paragraph 1, point (iii), or paragraph 4, is multiplied by 1,25, replacing the prior wording that separately addressed large financial sector entities and unregulated financial sector entities and referred to coefficients in paragraph 1(iii) and paragraph 4.
Cited: Art. 153, v2 · Art. 153, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 153
Risk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporates
1. Subject to the application of the specific treatments laid down in paragraphs 2, 3 2 and 4, the risk-weighted exposure amounts for exposures to corporates, institutions and central governments and central banks banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporates shall be calculated according to the following formulae:
Risk – weighted exposure amount = RW · exposure value
where the risk weight RW is defined as
(i) if PD = 0, RW shall be 0;
(ii) if PD = 1, i.e., for defaulted exposures:
where institutions apply the LGD values set out in Article 161(1), RW shall be 0;
where institutions use own estimates of LGDs, RW shall be RWmax 0;12.5LGD ELBE;
where the expected loss best estimate (hereinafter referred to as ELBE) shall be the institution's best estimate of expected loss for the defaulted exposure in accordance with Article 181(1)(h);
(iii) if 0 < PD < 1
RWLGD N11 R GPDR1 R G0.999 LGD PD 1 M 2,5 b1 1,5 b 12,5 1,06 1, then:
where:
N(x) N
= the cumulative distribution function for a standard normal random variable (i.e. variable, i.e. N(x) equals the probability that a normal random variable with mean zero of 0 and variance of one 1, is less than or equal to x);
G(Z)
denotes x;
G
= the inverse cumulative distribution function for a standard normal random variable (i.e. variable, i.e. if x = G(z), x is the value x such that N(x) = z) z;
R
denotes = the coefficient of correlation, which is defined asR0.12 1 e 50 PD1 e 500.24 1 1 e 50 PD1 e 50 as:
b
= the maturity adjustment factor, which is defined as
b0.11852 0.05478 lnPD2. as:
b = [0,11852 – 0,05478 · ln(PD)]2;
M
= the maturity, expressed in years and determined in accordance with Article 162.
2. For all exposures to large regulated financial sector entities, the co-efficient of correlation of paragraph 1(iii) is multiplied by 1,25. For all exposures entities and to unregulated financial sector entities, the coefficients coefficient of correlation set out R referred to in paragraph 1(iii) and 1, point (iii), or paragraph 4, as relevant, are applicable, shall be multiplied by 1,25. 1,25 when calculating the risk weights of those exposures.
3. The risk-weighted exposure amount for each exposure which meets the requirements set out in Articles 202 and 217 may be adjusted in accordance with the following formula:
Risk – weighted exposure amount = RW · exposure value · (0.15 + 160 · PDpp)
where:
PDpp
PD of the protection provider.
RW shall be calculated using the relevant risk weight formula set out in point 1 for the exposure, the PD of the obligor and the LGD of a comparable direct exposure to the protection provider. The maturity factor (b) shall be calculated using the lower of the PD of the protection provider and the PD of the obligor.
4. For exposures to companies where the total annual sales for the consolidated group of which the firm is a part is less than EUR 50 million, institutions may use the following correlation formula in paragraph 1 (iii) for the calculation of risk weights for corporate exposures. In this formula S is expressed as total annual sales in millions of euro with EUR 5 million ≤ S ≤ EUR 50 million. Reported sales of less than EUR 5 million shall be treated as if they were equivalent to EUR 5 million. For purchased receivables the total annual sales shall be the weighted average by individual exposures of the pool.R0.12 1 e 50 e50 PD1 e 500.24 e500.24 1 1 e 50 e50 PD1 e 50 0.04 e500.04 1 minmax5,S,50 545
Institutions shall substitute total assets of the consolidated group for total annual sales when total annual sales are not a meaningful indicator of firm size and total assets are a more meaningful indicator than total annual sales.
5. For … 502 unchanged words … by 10 July 2026.
Power is delegated to the Commission to supplement this Regulation by adopting the regulatory technical standards referred to in the first subparagraph of this paragraph in accordance with Articles 10 to 14 of Regulation (EU) No 1093/2010.