EBU Single Rulebook Q&A 24 April 2019 2019_4680 Application of the LGD floor
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European Union · · · 21-08-2020
Are there any specific requirements regarding the adjustment for the LGD floor? More specifically, is it a sufficient condition to ensure (may be on a daily basis) that the exposure weighted average LGD just needs to meet the floor on a portfolio level and the respective adjustments on the facility level are at the discretion of the bank?
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