(b)

paragraph 1 is amended as follows: the introductory wording is replaced by the following: ‘Subject to the application of the specific treatments laid down in paragraphs 2 and 4, the risk-weighted exposure amounts for exposures to central governments and central banks, exposures to regional governments, local authorities and public sector entities, exposures to institutions and exposures to corporates shall be calculated according to the following formulae:’ ; point (iii) is replaced by the following: where: ; if 0 < PD < 1, then: = the cumulative distribution function for a standard normal random variable, i.e. N(x) equals the probability that a normal random variable with mean of 0 and variance of 1, is less than or equal to x; = the inverse cumulative distribution function for a standard normal random variable, i.e. if x = G(z), x is the value such that N(x) = z; = the coefficient of correlation, which is defined as: = the maturity adjustment factor, which is defined as: b = [0,11852 – 0,05478 ‏‏‏∙ ln(PD)]2 ; = the maturity, expressed in years and determined in accordance with Article 162.’

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Source: EUR-Lex CELLAR · retrieved 2026-09-04 · Text as adopted (Official Journal); later amendments are not incorporated in this text.