Article 1 › 6

For the purposes of paragraph 4 of this Article, the LGD input floors in Table 1 in that paragraph for exposures fully secured by eligible funded credit protection shall apply when the value of the funded credit protection, after the application of the volatility adjustments Hc and Hfx concerned in accordance with Article 230, is equal to or exceeds the value of the underlying exposure. For the purposes of paragraph 4 of this Article and for the purposes of the application of the relevant related adjustments, Hc and Hfx, in accordance with Article 230, funded credit protection shall be eligible pursuant to this Chapter. In that case, the type of funded credit protection “other physical collateral” in Article 230, Table 1, shall be understood as “other physical and other eligible collateral”. The applicable LGD input floor (LGDfloor) for an exposure partially secured by FCP is calculated as the weighted average of LGDU-floor for the part of the exposure without FCP and LGDS-floor for the fully secured part, as follows: where: LGDU-floor and LGDS-floor are the relevant floor values in Table 1; E, ES, EU and HE are determined in accordance with Article 230.

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