(ii)

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.