+6 LGD estimation
---+6.1 General requirements specific to LGD estimation
------+100. Institutions that have obtained permission to use own estimates of LGD in accordance with …
------+101. 101. For the purpose of LGD estimation, with regard to defaults recognised on a single …
------+102. Institutions should estimate their own LGDs based on their own loss and recovery experience …
------+103. Where in the case of retail exposures and purchased corporate receivables institutions derive …
------+104. An LGD model can contain several different methods, especially with respect to different types …
------+105. Institutions should be able to demonstrate that the methods that they choose for the purpose …
------+106. The methods used by the institution in the LGD estimation, the assumptions underlying these …
------+107. For the purpose of LGD estimation institutions should use an RDS covering all of the following …
------+108. Institutions should include in the RDS information on the results of the recovery processes …
------+109. The RDS should contain at least the following information: (a) obligor-related …
------+110. In accordance with Article 229(1) of Regulation (EU) No 575/2013 institutions may use various …
------+111. Where institutions derive LGD estimates from realised losses and appropriate estimates of PDs …
------+112. Where aggregated information is collected and stored, institutions should develop an …
------+113. Institutions should demonstrate that they collect and store in their databases all information …
------+114. Institutions should take reasonable steps to recognise the sources of the cash flows and …
------+115. Institutions should recognise the recoveries as stemming from collaterals in all of the …
------+116. For the purpose of point (b) of paragraph 115 institutions should determine the value of …
------+117. Institutions should consider whether the value of repossession adequately reflects the value …
------+118. In any case the repossession of collateral should be recognised at the moment of repossession …
------+119. Any sale of credit obligations in accordance with point (d) of paragraph 115 should be …
------+120. In accordance with point (f) of paragraph 115 institutions may specify and recognise any other …
---+6.2 Model development in LGD estimation
------+121. Institutions should identify and analyse potential risk drivers that are relevant to their …
------+122. Institutions should analyse the risk drivers not only at the moment of default but also at …
------+123. Institutions should specify or calculate the risk drivers in the application of LGD estimates …
------+124. In accordance with Articles 170 and 181(1)(f) of Regulation (EU) No 575/2013 institutions may …
------+125. To the extent that LGD estimates take into account the existence of unfunded credit protection …
------+126. Institutions should take into account as a risk driver or segmentation criterion information …
------+127. Collaterals which do not meet the requirement of Article 181(1)(f) of Regulation (EU) No …
------+128. For the purpose of LGD estimation institutions may group the types of collaterals that are …
------+129. The approach developed by institutions to include the effect of collaterals in the LGD …
------+130. In order to fulfil the requirement of Article 38 of the RTS on IRB assessment methodology …
---+6.3 LGD calibration
------+6.3.1.1 Definition of economic loss and realised LGD
---------+131. For the purpose of LGD estimation as referred to in Article 181(1)(a) of Regulation (EU) No …
---------+132. For the purpose of paragraph 131, institutions should calculate the economic loss realised on …
---------+133. For the purpose of calculation of the economic loss realised on an exposure in accordance with …
---------+134. Where, relating to a default event, any part of exposure has been forgiven or written off …
---------+135. In the case of exposures that return to non-defaulted status, institutions should calculate …
---------+136. Where institutions open new facilities to replace previously defaulted facilities as part of …
------+6.3.1.2 Treatment of fees, interest and additional drawings after default
---------+137. For the purpose of Article 181(1)(i) of Regulation (EU) No 575/2013, institutions should take …
---------+138. Institutions should apply the treatment specified in paragraph 137 to any interest capitalised …
---------+139. In accordance with Article 182(1)(c) of Regulation (EU) No 575/2013 institutions that obtained …
---------+140. Where institutions include additional drawings by the obligor after the moment of default in …
---------+141. For retail exposures, where institutions do not include additional drawings by the obligor …
---------+142. Irrespective of whether institutions reflect future drawings in their conversion factors or in …
------+6.3.1.3 Discounting rate
---------+143. For the purpose of the calculation of economic loss, in accordance with point (2) of Article 5 …
------+6.3.1.4 Direct and indirect costs
---------+144. For the purpose of the calculation of the realised LGDs, institutions should take into account …
---------+145. Direct costs should include the costs of outsourced collection services, legal costs, the cost …
---------+146. Indirect costs should include all costs stemming from the running of the institution’s …
------+6.3.2.1 Historical observation period
---------+147. The historical observation period should be as broad as possible and should contain data from …
---------+148. In assessing whether the RDS includes a sufficient number of closed recovery processes in …
------+6.3.2.2 Calculation of long-run average LGD
---------+149. In accordance with letter (a) of Article 181(1) of Regulation (EU) No 575/2013 institutions …
---------+150. Without prejudice to Article 181(2) of Regulation (EU) No 575/2013 institutions should …
---------+151. Where institutions do not give equal importance to all historical data for retail exposures in …
---------+152. In specifying the weights in accordance with paragraph 151 institutions should take into …
------+6.3.2.3 Treatment of incomplete recovery processes
---------+153. For the purposes of letter (a) of Article 181(1) of Regulation (EU) No 575/2013, in relation …
---------+154. Institutions should calculate the observed average LGD for each facility grade or pool and at …
---------+155. Institutions should clearly specify in their internal policies the moment of closing the …
---------+156. Institutions should define the maximum period of the recovery process for a given type of …
---------+157. For the purpose of the calculation of the observed average LGD, institutions should recognise …
---------+158. Institutions should obtain the long-run average LGD by adjusting the observed average LGD …
---------+159. The estimation referred to in paragraph 158(b) should comply with the following principles …
------+6.3.2.4 Treatment of cases with no loss or positive outcome
---------+160. Where institutions observe that they realised profit on their observations of defaults, the …
---------+161. Institutions should calibrate their LGD estimates to the long run average LGD calculated in …
---------+162. Where institutions observe extremely high values of realised LGDs much above 100%, especially …
---------+163. In order to comply with the requirement of Article 181(1)(a) of Regulation (EU) No 575/2013 to …
---------+164. In the analysis of the representativeness of data in accordance with section 4.2.4 …

6 LGD estimation

6 LGD estimation

1. Forbhreathnú

,
6.1 General requirements specific to LGD estimation

6.1.1 LGD estimation methodologies
6.2 Model development in LGD estimation

6.2.1 Risk drivers
6.3 LGD calibration

6.3.1 Calculation of economic loss and realised LGD

1.1 Tagairtí

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

Ceanglais

3. Caighdeáin ghaolmhara

Caighdeáin
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