Document ID: chunk:federal_register_of_legislation:F2024L01127:reg:13
Version: federal_register_of_legislation:F2024L01127
Segment Type: reg
Provision Reference: reg 13
Character Range: 35370–37349

13  Internal LGD grade                                         Y                                  Text                                                                                                        This column captures internal LGD grades and is applicable to exposures subject to the AIRB or the retail IRB approach. For all other exposures, report Not Applicable.

                                                                                                                                                                                                              For ADIs that use discrete LGD grades for regulatory capital calculation, report the label given to the internal LGD grade (e.g. LGD1, LGD2, etc.).

                                                                                                                                                                                                              For ADIs that assign continuous LGD estimates for regulatory capital calculation, the estimates must first be grouped into LGD bands for reporting purposes and then report the label given to each band (e.g. LGD1, LGD2, etc.). It is up to the ADI to determine the reasonable number of discrete bands for reporting purposes. The bands may be aligned with bands used internally for other purposes such as pricing.

                                                                                                                                                                                                              The allocation of exposures to each LGD grade or band should be made after the application of regulatory floors on LGD.

                                                                                                                                                                                                              For rows to which this column does not apply (e.g. slotted exposures), report Not Applicable.