Article 5 Definitions specific to capital requirements for credit riskX1

For the purposes of Part Three, Title II F1and Articles 132a to 132c of Chapter 3 of the Standardised Approach and Internal Ratings Based Approach to Credit Risk (CRR) Part of the PRA Rulebook, the following definitions shall apply:

1. (1)

   ‘ exposure ’ means an asset or off-balance sheet item;

2. (2)

   ‘ loss ’ means economic loss, including material discount effects, and material direct and indirect costs associated with collecting on the instrument;

3. (3)

   ‘ expected loss ’ or ‘ EL ’ means the ratio of the amount expected to be lost on an exposure from a potential default of a counterparty or dilution over a one-year period to the amount outstanding at default.