(c) Calculating risk‐weighted exposure amounts and expected loss amounts

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

Standardised Approach E* as calculated under point 33 shall be taken as the exposure value for the purposes of Article 80. In the case of off-balance sheet items listed in Annex II, E* shall be taken as the value at which the percentages indicated in Article 78(1) shall be applied to arrive at the exposure value. IRB Approach LGD* (the effective LGD)calculated as set out in this point shall be taken as the LGD for the purposes of Annex VII. LGD* = LGD x (E*/E) where: LGD is the LGD that would apply to the exposure under Articles 84 to 89 if the exposure was not collateralised; E is the exposure value as described under point 33; E* is as calculated under point 33.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.