F1ANNEX VIIINTERNAL RATINGS BASED APPROACH
F1PART 1Risk weighted exposure amounts and expected loss amounts
F11.CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT RISK
F11.
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F12.
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F11.1.Risk weighted exposure amounts for exposures to corporates, institutions and central governments and central banks.
F13.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:
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F14.The risk weighted exposure amount for each exposure which meets the requirements set out in Annex VIII, Part 1, point 29 and Annex VIII, Part 2, point 22 may be adjusted according to the following formula:
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F15.For exposures to companies where the total annual sales for the consolidated group of which the firm is a Part is less than EUR 50 million, credit institutions may use the following correlation formula for the calculation of risk weights for corporate exposures. In this formula S is expressed as total annual sales in millions of Euros with EUR 5 million <= S <= EUR 50 million. Reported sales of less than EUR 5 million shall be treated as if they were equivalent to EUR 5 million. For purchased receivables the total annual sales shall be the weighted average by individual exposures of the pool.
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F16.For specialised lending exposures in respect of which a credit institution cannot demonstrate that its PD estimates meet the minimum requirements set out in Part 4 it shall assign risk weights to these exposures according to Table 1, as follows:
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F17.
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F18.
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F19.
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F11.2.Risk weighted exposure amounts for retail exposures
F110.Subject to points 12 and 13, the risk weighted exposure amounts for retail exposures shall be calculated according to the following formulae:
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F111.
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F112.
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F113.For qualifying revolving retail exposures as defined in points (a) to (e), a correlation (R) of 0,04 shall replace the figure produced by the correlation formula in point 10.
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F114.To be eligible for the retail treatment, purchased receivables shall comply with the minimum requirements set out in Part 4, points 105 to 109 and the following conditions:
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F115.
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F116.
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F11.3.Risk weighted exposure amounts for equity exposures
F117.
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F118.
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F11.3.1.Simple risk weight approach
F119.The risk weighted exposure amount shall be calculated according to the following formula:
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F120.
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F121.
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F11.3.2.PD/LGD approach
F122.
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F123.
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F124.
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F11.3.3.Internal models approach
F125.
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F126.
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F11.4.Risk weighted exposure amounts for other non credit-obligation assets
F127.The risk weighted exposure amounts shall be calculated according to the following formula:
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F12.CALCULATION OF RISK WEIGHTED EXPOSURE AMOUNTS FOR DILUTION RISK OF PURCHASED RECEIVABLES
F128.Risk weights for dilution risk of purchased corporate and retail receivables:
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F13.CALCULATION OF EXPECTED LOSS AMOUNTS
F129.
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F130.The expected loss amounts for exposures to corporates, institutions, central governments and central banks and retail exposures shall be calculated according to the following formulae:
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F131.The EL values for specialised lending exposures where credit institutions use the methods set out in point 6 for assigning risk weights shall be assigned according to Table 2.
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F132.The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the methods set out in points 19 to 21, shall be calculated according to the following formula:
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F133.The expected loss amounts for equity exposures where the risk weighted exposure amounts are calculated according to the methods set out in points 22 to 24 shall be calculated according to the following formulae:
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F134.
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F135.The expected loss amounts for dilution risk of purchased receivables shall be calculated according to the following formula:
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F14.TREATMENT OF EXPECTED LOSS AMOUNTS
F136.
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Repealed by Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (Text with EEA relevance).