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CA-5.7.2

A bank must sum the EL amount (defined as EL multiplied by EAD) associated with its exposures (excluding the EL amount associated with equity exposures under the PD/LGD approach and securitisation exposures) to obtain a total EL amount. While the EL amount associated with equity exposures subject to the PD/LGD approach is excluded from the total EL amount, paragraphs CA-5.7.3 and CA-5.7.13 apply to such exposures. The treatment of EL for securitisation exposures is described in paragraph CA-6.4.4.

Apr 08