On July 6, 2015, the EBA published a consultation paper on draft RTS relating to the conditions that national regulators must consider when tightening capital requirements for mortgage exposures and determining higher risk-weights and higher minimum Loss Given Default values under the CRR. The draft RTS set out the conditions and financial stability considerations that would promote harmonization in setting higher risk weights and higher minimum LGD values. The proposed conditions set out in the consultation paper include a requirement for national regulators to specify the LGD expectation on property segments in property markets. The consultation states that forward-looking analyses should be made and consideration given to developments in the property markets. The consultation also seeks views on the levels of indicative benchmarks for loss expectations when higher risk weights are set. Responses to the consultation are due by October 6, 2015.
The consultation paper is available at: http://www.eba.europa.eu/documents/10180/1134425/EBA-CP-2015-12+CP+on+RTS+on+RWs+and+LGD+Values.pdf.
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