EBU Single Rulebook Q&A 8 December 2015 2015_2508 Calculation of ELGD under the Supervisory Formula Method in case of a re-securitisation
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European Union · · · 08-12-2015
In case of a re-securitisation, in order to calculate the value for ELGD under the Supervisory Formula Method, shall an LGD of 100 % only be applied to those securitised exposures that are securitisation positions or to all securitised exposures where all securitised exposures are to be treated under the Internal Ratings Based Approach (IRBA)?
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