3. EQUITY EXPOSURES SUBJECT TO PD/LGD METHOD

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

PDs shall be determined according to the methods for corporate exposures. The following minimum PDs shall apply: 0,09 % for exchange traded equity exposures where the investment is part of a long‐term customer relationship; 0,09 % for non-exchange traded equity exposures where the returns on the investment are based on regular and periodic cash flows not derived from capital gains; 0,40 % for exchange traded equity exposures including other short positions as set out in part 1, point 20; and 1,25 % for all other equity exposures including other short positions as set out in Part 1, point 20. Private equity exposures in sufficiently diversified portfolios may be assigned an LGD of 65 %. All other exposures shall be assigned an LGD of 90 %. M assigned to all exposures shall be 5 years.

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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.