+Guidelines on Credit Risk Mitigation for institutions applying the IRB approach with own estimates of LGDs (EBA/GL/2020/05)
---+1. Compliance and reporting obligations
------+Status of these guidelines
---------+1. This document contains guidelines issued pursuant to Article 16 of Regulation (EU) No 1093/2010. …
---------+2. Guidelines set the EBA’s view of appropriate supervisory practices within the European System of …
------+Reporting requirements
---------+3. According to Article 16(3) of Regulation (EU) No 1093/2010, competent authorities must notify …
---------+4. Notifications will be published on the EBA website, in line with Article 16(3) of Regulation …
---+2. Subject matter, scope and definitions
------+2.1 Subject matter
---------+5. These guidelines specify the requirements for using credit risk mitigation in accordance with …
------+2.2 Scope of application
---------+6. These guidelines apply in relation to the IRB approach in accordance with Part Three, Title II …
---------+7. In particular, these guidelines specify the recognition of unfunded credit protection (defined …
------+2.3 Addressees
---------+8. These guidelines are addressed to competent authorities as defined in point i of Article 4(2) of …
------+2.4 Definitions
---------+9. Unless otherwise specified, terms used and defined in Regulation (EU) No 575/2013, Directive …
---+3. Implementation
------+3.1 Date of application
---------+10. These guidelines apply from 1 January 2022. Institutions should incorporate the requirements of …
---+4. General provisions
------+11. In accordance with Article 108(2) of Regulation (EU) No 575/2013, institutions that apply the …
------+12. For the purposes of Article 181(1) of Regulation (EU) No 575/2013, any reference to the term …
------+13. The credit risk mitigation effects of on-balance sheet netting should be recognised in the …
------+14. For the types of exposures for which they have received permission to use own LGD estimates …
------+15. Institutions may recognise credit insurance in accordance with paragraph 14 if the associated …
------+16. The treatment of ratings of third parties presented in paragraphs 62 to 64 of the EBA GL on PD …
---+5. Eligibility requirements
------+5.1 Eligibility requirements for funded credit protection
---------+17. In accordance with Article 181(1)(f) of Regulation (EU) No 575/2013, for the purposes of …
---------+18. In accordance with Article 181(1)(f) of Regulation (EU) No 575/2013, for the purposes of …
---------+19. For the purposes of Article 55 of the RTS on IRB assessment methodology and to ensure …
---------+20. Institutions should obtain a legal opinion confirming the legal effectiveness and …
---------+21. For the purposes of paragraph 20, institutions may rely on a single legal opinion in relation …
---------+22. For the purposes of paragraph 20, institutions may rely on a single legal opinion covering …
---------+23. Institutions should ensure that they obtain the legal opinion or opinions in accordance with …
------+5.2 Eligibility requirements for unfunded credit protection
---------+24. For the purposes of Article 183(1)(c) of Regulation (EU) No 575/2013, institutions should …
---------+25. For the purposes of paragraph 24, institutions may rely on a single legal opinion to support …
---+6. The effects of credit risk mitigation
------+6.1 The effects of funded credit protection
---------+26. Institutions may recognise credit risk mitigation effects of funded credit protection other …
---------+27. For the purposes of recognising the credit risk mitigation effects of master netting agreements …
---------+28. For the purposes of recognising the credit risk mitigation effects of on-balance sheet netting …
---------+29. For the purposes of LGD estimation as referred to in Article 181(1)(a) of Regulation (EU) No …
---------+30. For the purposes of recognising the credit risk mitigation effects of collateral in accordance …
------+6.2 The effects of unfunded credit protection
---------+31. Institutions may recognise the credit risk mitigation effects of unfunded credit protection …
---------+32. Institutions should have clear policies for assessing the effects of unfunded credit protection …
---------+33. Unfunded credit protection that does not meet the eligibility requirements for guarantors and …
---------+34. Where institutions adopt the modelling approach specified in paragraph 31(a)(i), they should …
---------+35. Where institutions adopt the modelling approach specified in paragraph 31(a)(i), the unfunded …
---------+36. Institutions may adopt the substitution of risk parameters approach specified in paragraph …
---------+37. Where institutions adopt the substitution of risk parameters approach or the substitution of …
---------+38. For the purposes of paragraph 37, if a given unfunded credit protection does not fully cover …
---------+39. Where institutions adopt the substitution of risk parameters approach and the obligor has …
---------+40. Where institutions apply the substitution of risk parameters approach, the other quantitative …
---------+41. Where institutions adjust the risk parameters in individual cases by considering the unfunded …
---------+42. Where institutions adopt one of the approaches described in paragraph 31(a) and the resulting …
---------+43. For the purposes of applying the substitution of risk parameters approach and calculating the …
---------+44. For the purposes of applying the substitution of risk parameters approach and calculating the …
---------+45. Institutions should calculate the risk weight floor in the following manner: (a) Where the …
---------+46. For the purposes of paragraph 45 and in order to recognise the effects of multiple credit risk …
---------+47. For the purposes of recognising the credit risk mitigation effects of multiple credit …
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Guidelines on Credit Risk Mitigation for institutions applying the IRB approach with own estimates of LGDs (EBA/GL/2020/05)

Guidelines on Credit Risk Mitigation for institutions applying the IRB approach with own estimates of LGDs (EBA/GL/2020/05)

https://www.eba.europa.eu/activities/single-rulebook/regulatory-activities/model-validation/guidelines-credit-risk-mitigation-institutions-applying-irb-approach-own-estimates-lgds – PDF

1. Overview

,
1. Compliance and reporting obligations

1. Compliance and reporting obligations
2. Subject matter, scope and definitions

2. Subject matter, scope and definitions
3. Implementation

3. Implementation
4. General provisions

4. General provisions
5. Eligibility requirements

5. Eligibility requirements
6. The effects of credit risk mitigation

6. The effects of credit risk mitigation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards
  • EBA - Published by the European Banking Authority at https://www.eba.europa.eu/