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)
- BaFin Press Release
- BaFin Consultation
- EBA Guidelines on Downturn LGD Estimation (PDF)
- EBA Guidelines on Credit Risk Mitigation (PDF)
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
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.