+Article 259 6.
|
Article 259 6.
Where the share of the largest underlying exposure in the pool (C1) is no more than 3 %, institutions may use the following simplified method to calculate N and the exposure-weighted average LGDs:
LGD = 0,50
where
|
Cm
|
denotes the share of the pool corresponding to the sum of the largest m exposures; and
|
|
m
|
is set by the institution.
|
If only C1 is available and this amount is no more than 0,03, then the institution may set LGD as 0,50 and N as 1/C1.
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
|