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New version applies from 01/01/2025 — introduced by Capital Requirements Regulation III (CRR3), Commission Delegated Regulation (EU) 2024/2795, Regulation (EU) 2024/2987. 311 provisions change. Later versions: 29/06/2025, 01/01/2026, 26/06/2026, 01/01/2027. Article 165 is deleted from 01/01/2025.

Article 165 - Equity exposures subject to the PD/LGD method

Article 165
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.

Official text · consolidated version 09/07/2024 (no longer in force) Open full page ↗
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