Reference date t=10 months in default:

When calculating the long-run average LGD relevant for the reference date t=10 months after default, institutions should take into account all observations (A, B, C and D), as in all these cases recoveries and costs at the next reference date (here t=20 months) are observed. It should be noted that the observations included in the calculation comprise case B, despite the observed zero costs and zero recoveries up to t=20 months after default, and case C, despite zero cash flows after the reference date of 10 months after default. All these cases carry useful information and are relevant for the estimation.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

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