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.
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.
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.
Following our success with collecting PD and LGD estimates for names counterparties in the past, GCD has spent the last months investing in a full enhanced data collection process called GCD Benchmarking platform.
Member banks are able to directly benchmark their estimated PD, LGD and EaD parameters for named counterparties and specific clusters with peers.
The first submission cycle of the new GCD Benchmarking platform has now kicked off and will run till Mid June 2017.
GCD is running a IFRS 9 benchmarking study in Summer 2017, following a special request of our members. The study goes far beyond the typical impact studies out there in the market.
The idea entails the set-up of a hypothetical portfolio ("dummy portfolio") as well as a common scenario with specific risk drivers and portfolio characteristics to calculate the 1-year and the life-time expected loss.