1.1. Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks.

Subject to points 5 to 9, the risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks shall be calculated according to the following formulae: Correlation (R) = 0.12 ×(1 - EXP(- 50 ^(*)PD)) / (1 - EXP(- 50)) + 0.24 ^(*)1 - (1 - EXP(- 50 ^(*) PD)) / (1 - EXP(- 50)) Looptijdfactor (b) = (0.11852 - 0.05478 ^(*) ln(PD))^(2) (LGD ^(*) N(l - R)^(-0.5)^(*)G(PD) + (R / (l - R))^(0.5)^(*)G(0.999) - PD^(*)LGD)^(*)(1 - 1.5 ^(*) b)^(-1)^(*)(1 + (M - 2.5)^(*)b)^(*)12.5^(*)1.06 N(x) denotes the cumulative distribution function for a standard normal random variable (i.e. the probability that a normal random variable with mean zero and variance of one is less than or equal to x). G (Z) denotes the inverse cumulative distribution function for a standard normal random variable (i.e. the value x such that N(x) z) For PD = 0, RW shall be 0. For PD = 1: for defaulted exposures where credit institutions apply the LGD values set out in Part 2, point 8, RW shall be 0; and for defaulted exposures where credit institutions use own estimates of LGDs, RW shall be Max{0, 12.5 *(LGD-EL_(BE))}; where EL_(BE) shall be the credit institution's best estimate of expected loss for the defaulted exposure according to point 80 of Part 4. Risk—weighted exposure amount = RW * exposure value. The risk weighted exposure amount for each exposure which meets the requirements set out in Annex VIII, Part 1, point 29 and Annex VIII, Part 2, point 22 may be adjusted according to 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 3 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. 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, credit institutions may use the following correlation formula for the calculation of risk weights for corporate exposures. In this formula S is expressed as total annual sales in millions of Euros 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. Correlation (R) = 0.12 × (1 - EXP(-50^(*)PD)) / (1 - EXP(-50)) + 0.24^(*)1 - (1 - EXP(-50^(*)PD)) / (1 - EXP(-50)) - 0.04^(*)(1 - (S - 5) / 45) Credit 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. For specialised lending exposures in respect of which a credit institution cannot demonstrate that its PD estimates meet the minimum requirements set out in Part 4 it shall assign risk weights to these exposures according to Table 1, as follows: Table 1 Remaining Maturity Category 1 Category 2 Category 3 Category 4 Category 5 Less than 2,5 years 50 % 70 % 115 % 250 % 0 % Equal or more than 2,5 years 70 % 90 % 115 % 250 % 0 % The competent authorities may authorise a credit institution generally to assign preferential risk weights of 50 % to exposures in category 1, and a 70 % risk weight to exposures in category 2, provided the credit institution's underwriting characteristics and other risk characteristics are substantially strong for the relevant category. In assigning risk weights to specialised lending exposures credit institutions shall take into account the following factors: financial strength, political and legal environment, transaction and/or asset characteristics, strength of the sponsor and developer, including any public private partnership income stream, and security package. For their purchased corporate receivables credit institutions shall comply with the minimum requirements set out in points 105 to 109 of Part 4. For purchased corporate receivables that comply in addition with the conditions set out in point 14, and where it would be unduly burdensome for a credit institution to use the risk quantification standards for corporate exposures as set out in Part 4 for these receivables, the risk quantification standards for retail exposures as set out in Part 4 may be used. For purchased corporate receivables, refundable purchase discounts, collateral or partial guarantees that provide first-loss protection for default losses, dilution losses, or both, may be treated as first-loss positions under the IRB securitisation framework. Where an institution provides credit protection for a number of exposures under terms that the nth default among the exposures shall trigger payment and that this credit event shall terminate the contract, if the product has an external credit assessment from an eligible ECAI the risk weights set out in Articles 94 to 101 will be applied. If the product is not rated by an eligible ECAI, the risk weights of the exposures included in the basket will be aggregated, excluding n-1 exposures where the sum of the expected loss amount multiplied by 12,5 and the risk weighted exposure amount shall not exceed the nominal amount of the protection provided by the credit derivative multiplied by 12,5. The n-1 exposures to be excluded from the aggregation shall be determined on the basis that they shall include those exposures each of which produces a lower risk‐weighted exposure amount than the risk‐weighted exposure amount of any of the exposures included in the aggregation.

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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.