Search for Q&As Submit a question

List of Q&As

Range of application of the LGD regulatory floor for the calculation of own funds requirements at individual and consolidated levels

Shall the LGD regulatory floor be applied at the territory level of the Member state to exposures secured by property located in the territory of that Member state (Article 164(7) CRR) for the calculation of own funds requirements at any level, i.e. individual and/or consolidated level?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2019_4859 | Topic: Credit risk | Date of submission: 07/08/2019 | Date of publication: 18/02/2022

10 % LGD floor for retail exposures secured by residential property

How should an institution, which uses the IRB approach calculate the 10 % LGD floor mentioned in Article 164(4) CRR in the case where a part of the individual exposures are guaranteed by a guarantor (institution) which is treated under the Standardised Approach?

Legal act: Regulation (EU) No 575/2013 (CRR)

COM Delegated or Implementing Acts/RTS/ITS/GLs: Not applicable

ID: 2017_3554 | Topic: Credit risk | Date of submission: 11/10/2017 | Date of publication: 07/08/2020