Regulatory Alerts2018-06-05
Implementation of EBA Guidelines on Probability of Default (PD) and Loss Given Default (LGD) Estimates (EBA/GL/2017/16)
The Prudential Supervision and Resolution Authority (ACPR) has declared compliance with the European Banking Authority's Guidelines on Probability of Default (PD) and Loss Given Default (LGD) estimates (EBA/GL/2017/16). These guidelines detail the methodology for estimating PD and LGD, define economic loss observations, clarify calculations for exposures already in default, and specify data usage and margin of conservatism requirements. The guidelines are applicable to payment service providers, including credit institutions, payment institutions, and electronic money institutions, which must take all necessary measures to comply in accordance with Article 16 of Regulation (EU) No 1093/2010.
NOTICE Implementation of the European Banking Authority's Guidelines on Probability of Default (PD) Estimates, Loss Given Default (LGD) Estimates, and the Treatment of Exposures Where Default Has Occurred under Regulation (EU) No 575/2013 (CRR) (EBA/GL/2017/16)
The Prudential Supervision and Resolution Authority has declared compliance with the European Banking Authority's (EBA/GL/2017/16) Guidelines on Probability of Default (PD) Estimates, Loss Given Default (LGD) Estimates, and the Treatment of Exposures Where Default Has Occurred.
These guidelines detail, in particular, the method for estimating the probability of default and loss given default (and define the definition of economic loss observations and clarify the calculations in situations where exposures are already in default). They also specify the requirements regarding data usage and the calculation of the margin of conservatism.
These guidelines are applicable to payment service providers – credit institutions, payment institutions, and electronic money institutions – who 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).