Article 231
Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral
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:
the institution uses the IRB Approach to calculate risk-weighted exposure amounts and expected loss amounts;
an exposure is collateralised by both financial collateral and other eligible collateral.