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Article 161 › 1

CRR
REGULATION (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance) · European Union

Institutions shall use the following LGD values: (a) senior exposures without eligible collateral: 45 %; (b) subordinated exposures without eligible collateral: 75 %; (c) institutions may recognise funded and unfunded credit protection in the LGD in accordance with Chapter 4; (d) covered bonds eligible for the treatment set out in Article 129(4) or (5) may be assigned an LGD value of 11,25 %; (e) for senior purchased corporate receivables exposures where an institution is not able to estimate PDs or the institution's PD estimates do not meet the requirements set out in Section 6: 45 %; (f) for subordinated purchased corporate receivables exposures where an institution is not able to estimate PDs or the institution's PD estimates do not meet the requirements set out in Section 6: 100 %; (g) For dilution risk of purchased corporate receivables: 75 %.

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Source: EUR-Lex CELLAR · retrieved 2026-09-04