3.

Annex VII, Part 1, is amended as follows: point 25 is replaced by the following: ‘25. The risk weighted exposure amount shall be the potential loss on the credit institution’s equity exposures as derived using internal value-at-risk models subject to the 99th percentile, one-tailed confidence interval of the difference between quarterly returns and an appropriate risk-free rate computed over a long-term sample period, multiplied by 12.5. The risk weighted exposure amounts at the equity portfolio level shall not be less than the total of the sums of minimum risk weighted exposure amounts required under the PD/LGD Approach and the corresponding expected loss amounts multiplied by 12.5 and calculated on the basis of the PD values set out in Part 2, point 24 and the corresponding LGD values set out in Part 2, points 25 and 26.’; point 27 is replaced by the following: ‘27. The risk weighted exposure amounts shall be calculated according to the following formula: Risk-weighted exposure amount = 100 % * exposure value, except for when the exposure is a residual value of leased properties in which case it shall be calculated as follows: 1/t * 100 % * exposure value, where t is the greater of 1 and the nearest number of whole years of the lease remaining.’;

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Source: EUR-Lex (Cellar) · retrieved 2026-10-21 · Text as adopted (Official Journal); later amendments are not incorporated in this text.