2.2.3. IRB Approach

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

Full protection/Partial protection — equal seniority For the covered portion of the exposure (based on the adjusted value of the credit protection G_(A)), the PD for the purposes of Annex VII, Part 2 may be the PD of the protection provider, or a PD between that of the borrower and that of the guarantor if a full substitution is deemed not to be warranted. In the case of subordinated exposures and non‐subordinated unfunded protection, the LGD to be applied for the purposes of Annex VII, Part 2 may be that associated with senior claims. For any uncovered portion of the exposure the PD shall be that of the borrower and the LGD shall be that of the underlying exposure. G_(A) is the value of G* as calculated under point 84 further adjusted for any maturity mismatch as laid down in Part 4.

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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.