(a) General treatment

Directive 2006/48/EC of the European Parliament and of the Council of 14 June 2006 relating to the taking up and pursuit of the business of credit institutions (recast) (Text with EEA relevance) · European Union

LGD* calculated as set out in points 69 to 72 shall be taken as the LGD for the purposes of Annex VII. Where the ratio of the value of the collateral (C) to the exposure value (E) is below a threshold level of C* (the required minimum collateralisation level for the exposure) as laid down in Table 5, LGD* shall be the LGD laid down in Annex VII for uncollateralised exposures to the counterparty. Where the ratio of the value of the collateral to the exposure value exceeds a second, higher threshold level of C^(**) (i.e. the required level of collateralisation to receive full LGD recognition) as laid down in Table 5, LGD* shall be that prescribed in Table 5. Where the required level of collateralisation C^(**) is not achieved in respect of the exposure as a whole, the exposure shall be considered to be two exposures — that part in respect of which the required level of collateralisation C^(**) is achieved and the remainder. Table 5 sets out the applicable LGD* and required collateralisation levels for the secured parts of exposures. Table 5 Minimum LGD for secured parts of exposures LGD* for senior claims or contingent claims LGD* for subordinated claims or contingent claims Required minimum collateralisation level of the exposure (C*) Required minimum collateralisation level of the exposure (C^(**)) Receivables 35 % 65 % 0 % 125 % Residential real estate/commercial real estate 35 % 65 % 30 % 140 % Other collateral 40 % 70 % 30 % 140 % By way of derogation, until 31 December 2012 the competent authorities may, subject to the levels of collateralisation indicated in Table 5: allow credit institutions to assign a 30 % LGD for senior exposures in the form of Commercial Real Estate leasing; allow credit institutions to assign a 35 % LGD for senior exposures in the form of equipment leasing; and allow credit institutions to assign a 30 % LGD for senior exposures secured by residential or commercial real estate. At the end of this period, this derogation shall be reviewed.

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Source: EUR-Lex (Cellar) · retrieved 2026-10-09 · Text as adopted (Official Journal); later amendments are not incorporated in this text.