179. Where, after the moment of default, institutions write-off part of the exposure the …

Where, after the moment of default, institutions write-off part of the exposure the calculation of the economic loss and the realised LGD should be based on the full amount of the outstanding credit obligation, without taking into account the partial write-off. However, where institutions regularly write-off parts of exposures based on a consistent policy in terms of the time and proportion of the write-off, they may include this information in the calibration of final EL BE and LGD in-default. Where institutions perform write-offs in a less regular manner, they may reflect the information about the partial write-off of a specific exposure in the application of these parameters to this exposure by overriding the output of the rating assignment process in accordance with section 8.2 in order to ensure consistency between the LGD estimation and the application of the LGD estimates.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

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