Appendix D: List of EBA Guidelines referenced in this Supervisory Statement
Links to the versions of the EBA Guidelines as they stood at the end of the transition period following the UK’s withdrawal from the EU are available below. Changes to these EBA Guidelines, and new Guidelines issued by the EBA after the end of the transition period, are not relevant for the purposes of this SS.
- Guidelines for the estimation of LGD appropriate for an economic downturn (‘Downturn LGD estimation’)
- Guidelines on the application of the definition of default under Article 178 of Regulation (EU) No 575/2013
- Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures
The PRA acknowledge the EBA as the source of these materials. The PRA refers users to the EBA’s legal notice on the following webpage:
- 01/01/2022