Article 165

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 3 > Section 4 > Sub-Section 3 > Article 165
Title:
Article 165
Description: 
Equity exposures subject to the PD/LGD method
Main content: 

1.  PDs shall be determined in accordance with the methods for corporate exposures.

The following minimum PDs shall apply:

(a)    0,09 % for exchange traded equity exposures where the investment is part of a long-term customer relationship;

(b)    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;

(c)    0,40 % for exchange traded equity exposures including other short positions as set out in Article 155(2);

(d)    1,25 % for all other equity exposures including other short positions as set out in Article 155(2).

2.  Private equity exposures in sufficiently diversified portfolios may be assigned an LGD of 65 %. All other such exposures shall be assigned an LGD of 90 %.

3.  M assigned to all exposures shall be five years.