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A bank must sum the EL amount (defined as EL multiplied by exposure at default)associated with its exposures to which the IRB approach is applied (excluding the EL amount associated with securitization exposures) to obtain a total EL amount.
15.3
Banks must calculate EL as probability of default (PD) x loss-given-default (LGD) for corporate, sovereign, bank, and retail exposures not in default. For corporate, sovereign, bank, and retail exposures that are in default, banks must use their best estimate of expected loss as defined in paragraph 16.85 for exposures subject to the advanced approach and for exposures subject to the foundation approach banks must use the supervisory LGD. For exposures subject to the supervisory slotting criteria EL is calculated as described in the chapter on the supervisory slotting approach (paragraphs 13.8 to 13.12). Securitization exposures do not contribute to the EL amount, as set out in in paragraph 18.36.
