47. For the purposes of recognising the credit risk mitigation effects of multiple credit …

For the purposes of recognising the credit risk mitigation effects of multiple credit protections that, as a result of the allocation performed by the institution in accordance with paragraph 46, cover the same part of an exposure, institutions may use one of the approaches specified in paragraph 31(a). In particular, for the purposes of applying the substitution of risk parameters approach and calculating the risk weight floor, institutions should use the following methods

mitigation effects of the additional credit protection:

• (a) Where comparable direct exposures to the guarantor are in the scope of a rating system for which the institution has not received prior permission to use own estimates of LGD in accordance with Article 143(2) of Regulation (EU) No 575/2013, the institution should use the LGD values provided in Article 161(1) of that Regulation,

requirements in Part Three, Title II, Chapter 4 of that Regulation.

• (b) Where comparable direct exposures to the guarantor are in the scope of a rating system for which the institution has received prior permission to use own estimates of LGD in accordance with Article 143(2) of Regulation (EU) No 575/2013, the institution should use the LGD of a comparable direct exposures to the guarantor that includes the effect of additional unfunded or funded credit protection. If institutions are not able to recognise this additional credit protection in the estimation of the LGD of comparable direct exposures to the guarantor, then:

to the LGD of unsecured exposures to the obligor, they should use the LGD estimates of the exposure to the obligor reflecting the effect of the additional credit protection; or

1. Forbhreathnú

1.1 Tagairtí

• Airteagal 143 2.
• Airteagal 161 1.

1.2 Ceanglais aitheanta

1.3 Caighdeáin ghaolmhara

2. Ceanglais aitheanta

3. Caighdeáin ghaolmhara

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