I have a confusion about how to calculate RWA for a exposure with many types of CRM (says, collaterals and guarantee) in IRB approach. In BCBS128, point 206, "In the case where a bank has multiple CRM techniques covering a single exposure (e.g. a bank has both collateral and guarantee partially covering an exposure), the bank will be required to subdivide the exposure into portions covered by each type of CRM technique (e.g. portion covered by collateral, portion covered by guarantee) and the risk-weighted assets of each portion must be calculated separately" But this is for SA approach, I'm not sure if this rule is valid for F-IRB approach. If If you divide the exposure into portions, will the collateral or guarantee be recognized first? Please look at the below example: A senior loan with exposure of 100k USD, CRE/RRE collateral covers 30k USD. LGD applied for CRE/RRE is 0.35 according to bcbs128. Guarantee covers 20k USD. The rest (no collateralized, no guaranteed): 20k USD. The LGD applied for no collateralized part is 0.45 (according to bcbs128) PD of the customer is 5%, PD of the guarantor is 2% As far as we understand, the LGD can be calculated as below. Please confirm if we understand correctly. The collateralized part (30k) will be applied the LGD of 0.35, PD = 5% The guaranteed part (20k) will be applied LGD of 0.45, PD = 2% The no guaranteed/collateralized part (50k) will be both applied the LGD of 0.45, PD = 5% If Guarantee in above example covers 80k (instead of 20k), collateral covers 30k, how should we divide exposure 100k? Thanks