4.2 Downturn LGD estimation for defaulted exposures
20. For downturn LGD estimation for defaulted exposures, institutions should use the same downturn period as identified for the corresponding non-defaulted exposures.
21. For downturn LGD estimation for defaulted exposures for the downturn period referred to in paragraph 20, institutions should comply with all of the following:
(a) The downturn component of LGD estimation for defaulted exposures as referred to in paragraph 193(b)(i) of the [EBA GL on PD and LGD estimation] should be quantified by either:
(i) calibrating downturn LGD for the defaulted exposures under consideration for each reference date in accordance with Section 4.3 by inferring the downturn component of the LGD in default for each reference date based on the difference between the downturn LGD estimates and ELBE; or