Home Technical Standards 2017 | Commission Delegated Regulation (EU) 2017/180 Article 8 Assessment standards for internal approaches for credit risk specific to the LDP
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Article 8 Assessment standards for internal approaches for credit risk specific to the LDP

Article 8 Assessment standards for internal approaches for credit risk specific to the LDP

01/01/2021EU
  1. (1)

    When carrying out an assessment referred to in Article 3(1) relating to the LDP counterparties set out in template 101 of Annex I of Implementing Regulation (EU) 2016/2070, competent authorities shall assess whether the differences between the own funds requirements for credit risk of an institution and those of its peers are driven by any of the following:

    1. (a)

      different rank ordering of the counterparties included in the LDP samples or different PD levels assigned to each grade;

    2. (b)

      specific facility types, collateral instruments or location of the counterparties;

    3. (c)

      heterogeneity in the PDs, LGDs, maturities or conversion factors;

    4. (d)

      collateralisation practices;

    5. (e)

      level of independency from external ratings assessment and frequency in the internal rating update.

  2. (2)

    Where an institution classifies a counterparty as "defaulted" while other institutions classify it as "performing", or vice versa, competent authorities shall apply the approach referred to in paragraph 1 to that counterparty.