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+Article 325bp 6. |
Article 325bp 6.To simulate the default of issuers in the internal default risk model, the institution's estimates of loss given default shall meet the following requirements:
(a)
the loss given default estimates are floored at 0 %;
(b)
the loss given default estimates shall reflect the seniority of each position;
(c)
an institution that has been granted permission to estimate LGD in accordance with Title II, Chapter 3, Section 1, for the exposure class and the rating system corresponding to a given exposure shall use the methodology set out therein to calculate LGD estimates of that issuer, provided that the data to make such an estimate are available;
(d)
an institution that has not been granted permission to estimate LGD referred to in point (c) shall develop an internal methodology or use external sources to estimate LGD consistently with the requirements applying to estimates of LGD under this Article. For the purposes of the first subparagraph, point (c), the data to estimate the LGD of a given issuer of a trading book position are available where, at the calculation date, the institution has a non-trading book position on the same exposure for which it estimates LGD in accordance with Title II, Chapter 3, Section 1 to calculate its own funds requirements set out in that Chapter. 1. Overview
1.1 References1.2 Identified Requirements1.3 Related Standards2. Identified Requirements
3. Related Standards
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