in force 2025-01-01 MODIFIED+776 −267§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
Paragraph 1 no longer sets a single flat minimum PD of 0,03% for an exposure, but instead requires that the PD used in the risk-weighted exposure amount and expected loss formulae for each exposure be the higher of the internal borrower grade or pool one-year PD and a specified PD input floor, set at 0,1% for QRRE revolvers and 0,05% for other retail exposures not classed as QRRE revolvers.
Paragraph 4 changed from a general statement that unfunded credit protection may be taken into account by adjusting PDs subject to Article 164(2), with an added eligibility rule for sellers of purchased receivables under dilution risk, to a narrower provision letting an institution using own LGD estimates under Article 143 for comparable direct exposures to the protection provider recognise unfunded credit protection in the PD in accordance with Article 183.
Cited: Art. 163, v1 · Art. 163, v2
text before / after
02013R0575-20240709 → 02013R0575-20250101
Article 163
Probability of default (PD)
1. The For the sole purpose of calculating risk-weighted exposure amounts and the expected loss amounts of those exposures, and in particular for the purposes of Articles 154 and 157, and Article 158(1), (5) and (10), the PD for each exposure that is used as an input of an the risk-weighted exposure amounts and expected loss formulae shall be at least 0,03 %. the higher of the one-year PD associated with the internal borrower grade or pool to which the retail exposure is assigned and the following PD input floor values:
(a) 0,1 % for QRRE revolvers;
(b) 0,05 % for retail exposures which are not QRRE revolvers.
2. The PD of obligors or, where an obligation approach is used, of exposures in default shall be 100 %.
3. For dilution risk of purchased receivables PD shall be set equal to EL estimates for dilution risk. If an institution can decompose its EL estimates for dilution risk of purchased receivables into PDs and LGDs in a manner the competent authorities consider to be reliable, the PD estimate may be used.
4. Unfunded For an exposure covered by an unfunded credit protection may be taken into account by adjusting PDs subject to protection, an institution using own estimates of LGD under Article 164(2). For dilution risk, in addition 143 for comparable direct exposures to the protection providers referred to provider may recognise the unfunded credit protection in the PD in accordance with Article 201(1)(g), the seller of the purchased receivables is eligible if the conditions set out in Article 160(4) are met. 183.