X1PART TENTRANSITIONAL PROVISIONS, REPORTS, REVIEWS AND AMENDMENTS

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TITLE ITRANSITIONAL PROVISIONS

CHAPTER 4Large exposures, own funds requirements, leverage and the Basel I Floor

Article 500 F1Adjustment for massive disposals

1

By way of derogation from point (a) of Article 181(1), an institution may adjust its LGD estimates by partly or fully offsetting the effect of massive disposals of defaulted exposures on realised LGDs up to the difference between the average estimated LGDs for comparable exposures in default that have not been finally liquidated and the average realised LGDs including on the basis of the losses realised due to massive disposals, as soon as all the following conditions are met:

a

the institution has notified the F2PRA of a plan providing the scale, composition and the dates of the disposals of defaulted exposures;

b

the dates of the disposals of defaulted exposures are after  23 November 2016 but not later than 28 June 2022 ;

c

the cumulative amount of defaulted exposures disposed of since the date of the first disposal in accordance with the plan referred to in point (a) has surpassed 20 % of the cumulative amount of all observed defaults as of the date of the first disposal referred to in points (a) and (b).

The adjustment referred to in the first subparagraph may only be carried out until 28 June 2022 and its effects may last for as long as the corresponding exposures are included in the institution's own LGD estimates.

2

Institutions shall notify the F2PRA without delay when the condition set out in point (c) of paragraph 1 has been met.