Label: |
Weighted Average LGD % of Off-Balance Sheet Credit Exposures |
Concept Guidance: |
This is, as at the relevant date, the exposure weighted average loss given default (LGD) of off-balance sheet credit exposures.This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.Weighted average LGD = SIGMAi LGDi x EADi / SIGMAi EADiWhere:LGDi = the LGD associated with the ith exposure in the group.EADi = the EAD associated with the ith exposure in the group.Loss given default (LGD) represents an entities economic loss upon the default of an obligor.A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.
|