News

With more than 170 people, GCD's European Conference has once again outreached its goals. We shared knowledge, exchanged ideas and got insights in the latest developments on credit risk management. 

For those members who could not join: save the date for the next conference in New York on September 24th/25th, 2018. 

Click here for more impressions of our GCD conference in Stockholm on June 11/12, 2018 (login for members required)

GCD has a strong position in the United States with the largest US banks being a long-term member and delivering data to GCD’s databases.

Last month, Goldman Sachs joined as member and is now starting up the onboarding process.

The multinational investment bank and financial services company will further contribute to the global coverage of GCD’s data. 

GCD LGD Report Large Corporates

First ever report of extensive analytics on LGD data highlights high recovery rate for banks on defaulted debt from large corporate borrowers

Global Credit Data has released its LGD Report 2018 – the first ever examining the Loss Given Default (LGD) for banks lending to corporate borrowers with a turnover of more than €50m. The report finds that banks, on average, recover 75% of debts owed by large corporate borrowers after default and confirms the hitherto untested principle that seniority and collateral drive low rates of LGD.

 

In Q4/2017, Global Credit Data conducted a benchmarking study that found significant variation in the credit loss estimates of the 19 participating IFRS 9 banks—all of which used a well-defined hypothetical portfolio and a common scenario to calculate their expected credit losses (ECL).

GCD welcomes Deutsche Pfandbriefbank as our newest member. Deutsche Pfandbriefbank (pbb) is a German specialist bank for real estate financing and public investment finance. In addition to Germany, the main business focus is on Great Britain, France, Spain, the nordic countries and countries in Central and Eastern Europe. 

On February 8th, 2018, ICC has published the ICC Trade Register report 2017, which presents a global view of the credit risk profile of trade and export finance transactions.
 

In December 2017 the BCBS made their final decision on what they call the “Finalisation of Basel III” and what the industry has called “Basel IV”. 

The reforms tighten the rules, aiming to reduce variation in RWAs across banks and are aimed to be in force from 2022, although they do require governments (EU, US etc.) to write them into their own laws, which may see further changes made.

 

 

The package of changes includes:

GCD has returned the results of the IFRS 9 benchmarking study to 19 member banks. 

In December 2017, banks have received back their detailed data return on the IFRS 9 Benchmarking study. 

The IFRS 9 Benchmarking study has given participants a unique opportunity to benchmark their ECL for a specific set of hypothetical borrowers. As usual, GCD returns the full, anonymized dataset to allow member banks to make their own analysis and deep-dive into the results. 

HSBC is one of the world's largest banks by loan volume and certainly has a global coverage in its portfolios. After careful due diligence and evaluation of benefits, HSBC Group has decided to join GCD and has been accepted by the Board for membership.

As for most members the key benefits for HSBC will come in the pooling of low default data as well as the alignment to best practice by collecting historical default information in a structured way, with GCD's data quality stamp.

Does loss given default (LGD) depend on the economic cycle and if so how can it be measured? This question still concerns risk modellers and regulators as part of their comprehensive risk assessment.

In 2013 GCD published a first downturn LGD study based on the GCD large-scale LGD database. This report provides an update of the analyses presented back then on a now significantly enlarged data set provided by over 50 member banks and covering over 15 years of default history.

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