Featured Product

    BaFin Issues Proposal on Own LGD Estimates Under IRB Approach

    October 25, 2021

    The Federal Financial Supervisory Authority of Germany (BaFin) published a draft circular that sets out further requirements for own estimates of loss given default (LGD) as part of the internal ratings-based (IRB) approach. With this circular, BaFin intends to adopt EBA guidelines on downturn LGD estimation as well as guidelines on credit risk mitigation for institutions applying the IRB approach with own estimates of LGDs. BaFin plans to incorporate the guidelines into its administrative practice and is requesting comments on the draft circular until November 19, 2021.

    EBA had published, in March 2019, the guidelines specifying how institutions should quantify the estimation of LGD appropriate for conditions of an economic downturn; these guidelines focus on requirements for quantification of the calibration target used for downturn LGD estimation. Then, in May 2020, EBA had published the guidelines on credit risk mitigation for institutions applying the advanced IRB approach, with own estimates of LGD; these guidelines clarify the application of the credit risk mitigation provisions, as laid down in the Capital Requirements Regulation (CRR) and applicable to institutions using the advanced IRB approach. The guidelines on credit risk mitigation clarify the eligibility requirements for different credit risk mitigation techniques— namely funded and unfunded credit protection—available to institutions.

     

    Related Links (in English and German)

    Comment Due Date: November 19, 2021

    Keywords: Europe, Germany, Banking, IRB Approach, LGD, Credit Risk, Credit Risk Mitigation, Economic Downturn, CRR, Basel, Loss Given Default, Regulatory Capital, EBA, BaFin

    Featured Experts
    Related Articles
    News

    EC Consults on PSD2 and Open Finance; EU Reaches Agreement on DORA

    The European Commission (EC) published a public consultation on the review of revised payment services directive (PSD2) and open finance.

    May 11, 2022 WebPage Regulatory News
    News

    EC Mandates ESAs to Propose Amendments to SFDR Technical Standards

    The European Commission (EC) has issued two letters mandating the European Supervisory Authorities (ESAs) to jointly propose amendments to the regulatory technical standards under Sustainable Finance Disclosure Regulation or SFDR.

    May 11, 2022 WebPage Regulatory News
    News

    EBA Examines Supervisory Practices, Issues Deposits Reporting Template

    The European Banking Authority (EBA) published its annual report on convergence of supervisory practices for 2021. Additionally, following a request from the European Commission (EC),

    May 11, 2022 WebPage Regulatory News
    News

    US Agency Publications Address Basel, Reporting, and CECL Developments

    The Farm Credit Administration published, in the Federal Register, the final rule on implementation of the Current Expected Credit Losses (CECL) methodology for allowances

    May 09, 2022 WebPage Regulatory News
    News

    SEC Extends Comment Period on Climate Risk Disclosures

    The U.S. Securities and Exchange Commission (SEC) looks set to intensify focus on crypto-assets and cyber risk and extended the comment period on the proposed rules to enhance and standardize climate-related disclosures for investors.

    May 09, 2022 WebPage Regulatory News
    News

    APRA Reduces Committed Liquidity Facility, Issues Other Updates

    The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility and issued an update on the operational preparedness for zero and negative market interest rates.

    May 09, 2022 WebPage Regulatory News
    News

    CMF Consults on Basel Rules, Presents Roadmap to Address Climate Risks

    The Commission for the Financial Market (CMF) in Chile published capital adequacy ratios (as of February 2022, January 2022, and December 2021) for 17 banks and for the banking system.

    May 06, 2022 WebPage Regulatory News
    News

    PRA Issues Statement on NPEs and Policy on Trading Activity Wind-Down

    The Prudential Regulation Authority (PRA) issued a statement on the European Banking Authority (EBA) guidelines on management of non-performing exposures (NPEs) and forborne exposures.

    May 06, 2022 WebPage Regulatory News
    News

    EBA Updates Standards for 2023 Benchmarking of Internal Approaches

    The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.

    May 06, 2022 WebPage Regulatory News
    News

    EIOPA Responds to Stakeholder Views on Blockchain in Insurance

    The European Insurance and Occupational Pensions Authority (EIOPA) published a feedback statement on the responses received to the consultation on blockchain and smart contracts in insurance.

    May 06, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8179