3.

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.

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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.