# 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), Article 231: Calculating risk-weighted exposure amounts and expected loss amounts in the case of mixed pools of collateral

Extent: E+W+S+N.I.

1. An institution shall calculate the value of LGD* that it shall use as the LGD for the purposes of Chapter 3 in accordance with paragraphs 2 and 3 where both the following conditions are met:
(a) the institution uses the IRB Approach to calculate risk-weighted exposure amounts and expected loss amounts;
(b) an exposure is collateralised by both financial collateral and other eligible collateral.
2. Institutions shall be required to subdivide the volatility-adjusted value of the exposure, obtained by applying the volatility adjustment as set out in Article 223(5) to the value of the exposure, into parts so as to obtain a part covered by eligible financial collateral, a part covered by receivables, a part covered by commercial immovable property collateral or residential property collateral, a part covered by other eligible collateral, and the unsecured part, as applicable.
3. Institutions shall calculate LGD* for each part of the exposure obtained in paragraph 2 separately in accordance with the relevant provisions of this Chapter.

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Source: https://www.legislation.gov.uk/eur/2013/575/article/231 (the official version)
Page: https://openlegislation.uk/eu-regulation-2013-575/article-231
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.