EBA欧洲银行-EBA-GL-2017-16-CT-GLs-on-PD-and-LGD-estimation_5页_250kb

EBA Guidelines Compliance Summary

Overview

The European Banking Authority (EBA) issued Guidelines on PD, LGD estimation and treatment of defaulted exposures (EBA/GL/2017/16) on 20 November 2017, with the date of application set for 1 January 2021. These guidelines aim to standardize the methodologies for estimating Probability of Default (PD) and Loss Given Default (LGD), as well as the treatment of defaulted exposures across the European Union (EU) and European Economic Area (EEA) member states.

Compliance Status by Competent Authorities

Key Points from Competent Authorities

• Bank of Italy:
  • Paragraph 135: Reserves partial compliance due to concerns that the method may overestimate LGD, especially in amortizing loans where discounting can lead to increased economic loss recognition.
  • Paragraph 153: Reserves partial compliance because the strict application of using all defaults for LGD estimation may lead to increased model risk and over-reliance on estimated recovery.
  • Paragraph 101: Points out that the independence period for LGD is longer than for PD, which may cause inconsistencies in expected loss calculations. Clarification is needed on how this aligns with upcoming RTS on Assessment Methodology.

Notes

• The EBA requires competent authorities to inform whether they comply or intend to comply with each guideline or recommendation.
• If a competent authority does not comply or intend to comply, it must provide the reasons.
• The EBA does not take responsibility for the accuracy of the information provided by competent authorities.
• For more information on the current status of any competent authority, contact them directly through the EBA's website: www.eba.europa.eu.