Article 58 | Delegated Regulation 2022/439

Article 58 - Risk parameter estimates for purchased corporate receivables

Article 58

Risk parameter estimates for purchased corporate receivables

1. When assessing the adequacy of PD and LGD estimates for purchased corporate receivables, where the institution derives PD or LGD for purchased corporate receivables from an estimate of EL in accordance with Article 160(2) and point (e) and (f) of Article 161(1) and an appropriate estimate of PD or LGD, competent authorities shall verify that:

(a)	EL is estimated from the long-run average of one-year total loss rates or by another appropriate approach;

(b)	the process for estimating the total loss is consistent with the concept of LGD as set out in Article 181(1)(a) of Regulation (EU) No 575/2013;

(c)	that the institution is able to decompose its EL estimates into PDs and LGDs in a reliable way;

(d)	in the case of purchased corporate receivables where Article 153(6) of Regulation (EU) No 575/2013 is applied, sufficient external and internal data are used.

2. When assessing the adequacy of PD and LGD estimates for purchased corporate receivables in cases other than those referred to in paragraph 1, competent authorities shall:

(a)	assess those estimates in accordance with Articles 42 to 52;

(b)	verify that the requirements of Article 184 of Regulation (EU) No 575/2013 are met.

Recitals

CHAPTER 1 - GENERAL PROVISIONS ON THE ASSESSMENT METHODOLOGY (Article 1-5)

CHAPTER 2 - ASSESSMENT METHODOLOGY FOR SEQUENTIAL IMPLEMENTATION PLANS AND PERMANENT PARTIAL USE OF THE STANDARDISED APPROACH (Article 6-8)

CHAPTER 3 - ASSESSMENT METHODOLOGY FOR THE FUNCTION OF VALIDATION OF INTERNAL ESTIMATES AND OF THE INTERNAL GOVERNANCE AND OVERSIGHT OF AN INSTITUTION (Article 9-17)

CHAPTER 4 - ASSESSMENT METHODOLOGY FOR USE TEST AND EXPERIENCE TEST (Article 18-22)

CHAPTER 5 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO GRADES OR POOLS (Article 23-25)

CHAPTER 6 - ASSESSMENT METHODOLOGY FOR IDENTIFICATION OF DEFAULTS (Article 26-29)

CHAPTER 7 - ASSESSMENT METHODOLOGY FOR RATING SYSTEMS DESIGN, OPERATIONAL DETAILS AND DOCUMENTATION (Article 30-40)

CHAPTER 8 - ASSESSMENT METHODOLOGY FOR RISK QUANTIFICATION (Article 41-58)

SECTION 1 - General (Article 41)

SECTION 2 - Methodology for assessing overall requirements for quantification of risk parameters (Article 42-44)

SECTION 3 - Methodology for assessing requirements specific for PD estimation (Article 45-46)

SECTION 4 - Methodology for assessing requirements specific to own-LGD estimates (Article 47-52)

SECTION 5 - Methodology for assessing requirements specific to own- conversion factor estimates (Article 53-56)

SECTION 6 - Methodology for assessing the effect of guarantees and credit derivatives (Article 57)

SECTION 7 - Methodology for assessing the requirements for purchased receivables (Article 58)Article 58 - Risk parameter estimates for purchased corporate receivables

CHAPTER 9 - ASSESSMENT METHODOLOGY FOR ASSIGNMENT OF EXPOSURES TO EXPOSURE CLASSES (Article 59-62)

CHAPTER 10 - ASSESSMENT METHODOLOGY FOR STRESS TEST USED IN ASSESSMENT OF CAPITAL ADEQUACY (Article 63-66)

CHAPTER 11 - ASSESSMENT METHODOLOGY FOR THE CALCULATION OF OWN FUNDS REQUIREMENTS (Article 67-71)

CHAPTER 12 - ASSESSMENT METHODOLOGY FOR DATA MAINTENANCE (Article 72-75)

CHAPTER 13 - ASSESSMENT METHODOLOGY OF INTERNAL MODELS FOR EQUITY EXPOSURES (Article 76-82)

CHAPTER 14 - ASSESSMENT METHODOLOGY FOR MANAGEMENT OF CHANGES TO RATING SYSTEMS (Article 83-84)

CHAPTER 15 - FINAL PROVISION (Article 85)

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Article 58 - Risk parameter estimates for purchased corporate receivables

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