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Survey LD Loss Given Default

With the new reporting obligation inherent in the information survey LD Loss Given Default – the Supervisory Board intends to set up an archive of data on the recovery of claims pursued by banks and financial intermediaries.

Survey LD & the Loss Given Default calculation

This archive is functional as it allows the recognition of historically recorded loss rates on the positions in default, the estimate of the expected loss (the PA) that all Intermediaries will be required to make under the new accounting model for evaluating the budgeting of the activities (ccdd. Impairment). This new model will replace the current model which is based on a concept of loss made by the Intermediary statistically but not attributable to individual credits (ccdd. Incurred losses) in accordance with IAS 39.

NEW PURPOSE OF SUPERVISION (LGD) In addition to the accounting models referred to in the previous paragraph, the report also holds the purpose of keeping watch on those Intermediaries who, depending on the adoption of advanced internal models for credit risk, independently calculate the loss given default (LGD below).

WHO IS RESPONSIBLE FOR REPORTING?

Banks authorized in Italy enrolled in the register pursuant to art. 13 TUB

Financial Intermediaries listed in the relevant register (Article 106 Legislative Decree n. 385/93) – referred to generically in the text as Intermediaries and the participation in the signalling not involved in the method used in the calculation of assets for the risk of credit. (standardized or IRB, the latter both in the “basic” and “advanced). The Italian branches of the European Banks are excluded from the sending of alerts.

IN EFFECT FROM THE ACCOUNTING DATE 31/12/2014

The signalation will come in to effect on the date of 31/12/2014, with reference to the positions closed between 1 January to 31 December 2014, with an alert sent by March 25, 2015. The signalation is structured as follows:

  • VOICES designed to identify the subject of the detection
  • SUBHEADINGS related to the type of value signaled
  • ATTRIBUTES OF INFORMATION that is detailed information relative to the other two occurences.