Chapter 8, Section 4, Article 49, Point (b) · Commission Delegated Regulation (EU) 2022/439

Contents

(a) explicit conditions are defined before a facility is consi…
(b) multiple defaults identified within a period of time speci…
(c) the length of period within which multiple defaults are re…
(d) defaults used for the purpose of PD and conversion factors…

(b)multiple defaults identified within a period of time specified by the institution are considered to be a single default for the purpose of LGD estimation, using the default date of the first observed default as the relevant default date and considering the recovery process from that date until the end of the recovery process after the last observed default in this period;