Updated 27/09/2023
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Version from: 28/06/2023
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CRR ToolCapital Requirements Regulation (CRR)
Article 231

Article 231 - Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

Article 231

Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

1.  

An institution shall calculate the value of LGD* that it shall use as the LGD for the purposes of Chapter 3 in accordance with paragraphs 2 and 3 where both the following conditions are met:

(a) 

the institution uses the IRB Approach to calculate risk-weighted exposure amounts and expected loss amounts;

(b) 

an exposure is collateralised by both financial collateral and other eligible collateral.

2.  
Institutions shall be required to subdivide the volatility-adjusted value of the exposure, obtained by applying the volatility adjustment as set out in Article 223(5) to the value of the exposure, into parts so as to obtain a part covered by eligible financial collateral, a part covered by receivables, a part covered by commercial immovable property collateral or residential property collateral, a part covered by other eligible collateral, and the unsecured part, as applicable.
3.  
Institutions shall calculate LGD* for each part of the exposure obtained in paragraph 2 separately in accordance with the relevant provisions of this Chapter.