149. In accordance with letter (a) of Article 181(1) of Regulation (EU) No 575/2013 institutions …

In accordance with letter (a) of Article 181(1) of Regulation (EU) No 575/2013 institutions are required to calculate the long-run average LGD separately for each facility grade or pool. In this context institutions should calculate the long-run average LGD also at the level of the portfolio covered by the LGD model. In the calculation of long-run average LGD institutions should use all defaults observed in the historical observation period that fall within the scope of the LGD model.

1. Overview

1.1 References

• Article 181 1.

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/