158. Institutions should obtain the long-run average LGD by adjusting the observed average LGD …

Institutions should obtain the long-run average LGD by adjusting the observed average LGD taking into account the information related to processes that were not closed (‘incomplete recovery processes’) and where the time from the moment of default until the moment of estimation is shorter than the maximum period of the recovery process specified for this type of exposures. For these processes, institutions should comply with both of the following:

• (a) they should take into account all observed costs and recoveries;
• (b) they may estimate future costs and recoveries, both those stemming from the realisation of the existing collaterals and those to be realised without the use of collaterals within the maximum period of the recovery processes.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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