Commission Delegated Regulation (EU) 2021/930 on regulatory technical standards for economic downturns

The European Commission establishes regulatory technical standards specifying the nature, severity, and duration of economic downturns for institutions applying the Internal Ratings Based Approach under Regulation (EU) No 575/2013. Institutions must identify downturns separately for each exposure type using a defined set of macro-economic and credit-related indicators, determining severity based on the most severe 12-month values observed over a default 20-year historical time-span. The regulation mandates that downturn periods last at least 12 months and requires institutions to document their estimation processes and review data annually. These standards apply to credit institutions and investment firms for calculating own-LGD and own-CF estimates, with application commencing on 1 January 2021.

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Source: European Commission — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works