171. For the purposes of EL BE and LGD in-default estimation, institutions should set the reference …

For the purposes of EL BE and LGD in-default estimation, institutions should set the reference dates to be used for grouping defaulted exposures in accordance with the recovery patterns observed. These reference dates should be used in the estimation of EL BE and LGD in-default instead of the date of default. For the purposes of setting the reference dates institutions should use information only on closed recovery processes taking into account costs and recoveries only if observed up to the date of estimation.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA -

  EN: Guidelines and other publications of the European Banking Authority (EBA), https://www.eba.europa.eu/. © European Banking Authority. Reproduction is authorised provided the source is acknowledged (EBA legal notice). Divided into sections and converted into the GRCA format, the wording unchanged. Only the versions published by the EBA are authoritative.

  DE: Leitlinien und weitere Veröffentlichungen der Europäischen Bankenaufsichtsbehörde (EBA), https://www.eba.europa.eu/. © European Banking Authority. Wiedergabe mit Quellenangabe gestattet (Rechtlicher Hinweis der EBA). In Abschnitte aufgeteilt und in das GRCA-Format umgewandelt, der Wortlaut unverändert. Maßgeblich sind allein die von der EBA veröffentlichten Fassungen.