Directive 2006/48/EC of the European Parliament and of the council (repealed)Show full title

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2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) (repealed)

30.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:

  • Expected loss (EL) = PD × LGD.

  • Expected loss amount = EL × exposure value.

For defaulted exposures (PD =1) where credit institutions use own estimates of LGDs, EL shall be ELBE, the credit institution's best estimate of expected loss for the defaulted exposure according to Part 4, point 80.

For exposures subject to the treatment set out in Part 1, point 4, EL shall be 0.