Regulatory Technical Standards on default probabilities and losses given default for default risk model under the Fundamental Review of the Trading Book

  • Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission

These draft Regulatory Technical Standards (RTS) on default probabilities (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB) clarify that any internal methodology used to calculate PDs and LGDs under the default risk model should meet all requirements applied for the Internal ratings-based (IRB) approach. In addition, these RTS specify the requirements that external sources are to fulfil for their use under the default risk model, thus reflecting similar qualitative requirements as those applicable to an internal methodology.

Summary of document history

Previous versions Current version Ongoing versions

Consultation paper on Regulatory Technical Standards (RTS) on default probabilities (PDs) and losses given default (LGDs) under the internal default risk model

  • Status: Closed
  • Deadline: 22 OCTOBER 2020
Documents
Consultation paper

(279.98 KB - PDF) Last update 22 July 2020

Responses

The form is now closed.

Received responses to the EBA

Public hearings

Public Hearing on draft RTS on PDs and LGDs for default risk model for institutions using the IMA for market risk

Public Hearing on CP draft RTS on PDs and LGDs

(970.67 KB - PDF) Last update 17 September 2020

Press contacts

Franca Rosa Congiu