[X1 PART THREE U.K. CAPITAL REQUIREMENTS

TITLE II U.K. CAPITAL REQUIREMENTS FOR CREDIT RISK

CHAPTER 3 U.K. Internal Ratings Based Approach

Section 4 U.K. PD, LGD and maturity

Sub-Section 3 U.K. Equity exposures subject to PD/LGD method

Article 165 U.K. Equity exposures subject to the PD/LGD method

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.]

Editorial Information

X1 Substituted by Corrigendum to 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 (OJ L 176, 27.6.2013, p. 1).