Regulatory Alerts2020-10-14
Implementation of EBA guidelines on credit risk mitigation techniques for institutions applying the IRB approach with their own LGD estimates (EBA/GL/2020/05)
The French Prudential Supervision and Resolution Authority (ACPR) has declared conformity with the European Banking Authority's guidelines on credit risk mitigation for institutions using the Advanced Internal Ratings-Based approach with their own Loss Given Default estimates. These guidelines apply to credit institutions supervised by the ACPR starting from January 1, 2022. Institutions are required to take all necessary measures to comply with these guidelines in accordance with Article 16 of Regulation (EU) No 1093/2010.
NOTICE Implementation of EBA guidelines EBA/GL/2020/05 on credit risk mitigation techniques for institutions applying the IRB approach with their own LGD estimates
The Prudential Supervision and Resolution Authority (ACPR) has declared conformity with the European Banking Authority's guidelines (EBA/GL/2020/05) on credit risk mitigation "for institutions applying the Internal Ratings-Based (IRB) approach with their own Loss Given Default (LGD) estimates," i.e., for institutions applying the Advanced Internal Ratings-Based (AIRB) approach. The guidelines are attached to this notice.
These guidelines are applicable from January 1, 2022, to credit institutions subject to ACPR supervision, which must take all necessary measures to comply with them, in accordance with the provisions of Article 16 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority).