38. For the purposes of paragraph 37, if a given unfunded credit protection does not fully cover …

For the purposes of paragraph 37, if a given unfunded credit protection does not fully cover the original exposure, institutions should be able to assign to the part of the exposure that is not covered by the given unfunded credit protection the PD and LGD estimates applicable to the original exposure without recognising the effect of the given unfunded credit protection. Moreover, for the purposes of calculating the realised LGD applicable to the part of the exposure not covered by the unfunded credit protection, institutions should allocate cash flows and costs in the following way:

• (a) Cash flows received from the guarantor should be allocated to the guaranteed part of the exposure, while cash flows that come from any other source should be allocated to the part of the exposure not covered by the unfunded credit protection. In the case of exposures that also benefit from funded credit protection, the cash flows associated with the funded credit protection should be allocated to the part of the exposure that is covered by this funded credit protection, in accordance with the guidance provided in paragraph 46.
• (b) Indirect costs should be allocated to the different parts of the exposure in accordance with the guidance provided in paragraph 113 of the EBA GL on PD and LGD estimation.
• (c) Direct costs that are directly linked to the exercising of the unfunded credit protection should be allocated to the guaranteed part of the exposures, while any other direct cost should be allocated to the part of the exposure not covered by the unfunded credit protection. In the case of exposures that also benefit from funded credit protection, the direct costs associated with realisation of the funded credit protection should be allocated to the guaranteed part of the exposure in accordance with the guidance provided in paragraph 46.

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.