100. Institutions that have obtained permission to use own estimates of LGD in accordance with …

Institutions that have obtained permission to use own estimates of LGD in accordance with Article 143(2) of Regulation (EU) No 575/2013 should assign an LGD estimate to each non-defaulted exposure and an estimate of LGD in-default and EL BE to each defaulted exposure within the range of application of the rating system subject to such permission in accordance with Articles 172 and 173 of Regulation (EU) No 575/2013. Institutions should estimate LGDs for all facility grades of the distinct facility rating scale or for all pools that are incorporated in the rating system. For the purpose of LGD estimation institutions should treat each defaulted facility as a distinct default observation, unless more than one independent defaults were recognised on a single facility which do not meet the conditions of paragraph

1. Overview

1.1 References

• Article 143 2.
• Article 172 Assignment of exposures
• Article 173 Integrity of assignment process

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/