Own funds instructions states that column ‘090 Exposure weighted average LGD (%)’ in CR GB 2 has the same definition as column 230 of CR IRB template.
Column 230 of CR IRB template has the following definition:
‘All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered […].
Exposure and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.’
In case, only the exposure to large regulated financial sector entities would be reported in the CR GB2, which value should be reported in the column 090 of CR GB2? ‘Null’ value, zero or the LGD average of exposures to large regulated financial sector entities?
For some countries, our institution is only exposed to Large Financial institutions. "Null" value has been reported by our institution, in report CR GB 2 / column 090 "EXPOSURE WEIGHTED AVERAGE LGD (%)" / Line "institutions" for these countries, following the ITS instructions mentioned above. Local supervisor expect another value (average LGD value).
Column 090 of template C 09.02 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) includes the ‘exposure weighted average LGD (%)’ for all exposures, i.e. it is calculated including exposures to ‘large regulated financial sector entities and unregulated financial entities’.
C 09.02’s instructions will be amended accordingly.