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5.

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

The expected loss (EL) and expected loss amounts for exposures to corporates, institutions, central governments and central banks and retail exposures shall be calculated according to the following formulae: Expected loss(EL) = PD * LGD Expected loss amount= EL [multiplied by] exposure value. For defaulted exposures (PD = 100 %) where institutions use own estimates of LGDs, EL shall be EL_(BE), the institution's best estimate of expected loss for the defaulted exposure in accordance with Article 181(1)(h). For exposures subject to the treatment set out in Article 153(3), EL shall be 0 %.

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Source: EUR-Lex (Cellar) · retrieved 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.