February 2021
Dear GCD members,
This year, without blinking, GCD continues to address the unique global circumstances by facilitating data sharing on the crisis impact for comparisons between peers, creating influence in the regulatory conversation on Non-Performing Loans (NPL), and by contributing to the research on credit risk and sustainable finance lead by the EU Commission and the United Nations.
For expanded insights, don’t miss the GCD European Conference (online) scheduled for March 10th and 11th to hear from key stakeholders addressing the potential (lagged?) NPL surge in the pandemic crisis, to engage with the European Banking Authority (EBA) and the EU Commission on the NPL action plan, and to hear from members about the business usage of GCD data. Join the discussion on provisioning or fair-valuation of illiquid assets with GCD members and partners, and learn about GCD mastering of data quality challenges while pooling cross-banks data. These topics will intrigue all attendees and also include exciting methodologies to use GCD data for projecting “unresolved loans”, assessing the impact of the current crisis while using historical downturn time series, comparing classical LGD modelling approaches to advanced machine learning concepts. You will also discover GCD’s participation in analyzing energy-efficient (green) loans and their possible lower credit risk and impact on capital requirements, working with members, the European EEFIG and global UNEP FI.
GCD remains focused on its core LGD data pool, which in 2020 reached a record level of more than 230 000 defaulted bank loans, and on helping members with initiatives like the masterscale working group and the interactive data dashboard, including a specialty dashboard collection (CRE, Aircraft, Shipping) on recovery rates and LGD.
I want to thank all our members for their energy, commitment, and resources spent in participating in these initiatives, events, surveys, webinars and benchmarks exercises; your inputs bring the value we try to leverage and multiply.
Richard Crecel | Executive Director, GCD | richard.crecel@globalcreditdata.org
Welcome: GCD’s newest members
We are delighted to announce the addition of Deutsche Bank and Mizuho Bank to our consortium and look forward to working with these banks in future. They both joined in Q4 2020.
The ever-growing nature of GCD is a testament to the quality of GCD’s research and data, and the true power of collaboration.
European Conference 2021
Following the success of GCD’s digital North American conference in 2020, we are gearing up to host our European conference on 10th-11th March 2021. This is your chance to explore the most pressing credit risk issues that banks across Europe are facing – from the impact of COVID-19 to regulatory updates including Basel IV.
Featuring key speakers from GCD and across the banking industry, this promises to be an unmissable event for European banks’ credit risk teams.
Agenda Available Online. Speakers Include:
IIF • EBA • NPL Markets • EC • CRISIL • ICC
REGISTER HERE
Rating transitions: gain insights on the impact of the pandemic
With the economic impact of the COVID-19 pandemic continually and rapidly evolving, banks’ credit risk teams must adjust their models in step. To do this, they need to have the most up-to-date and relevant data at hand.
To find out if and how the crisis is impacting banks’ portfolios, participate in the GCD Rating Transition initiative which offers participants critical information on the economic impact of the pandemic. The submission deadline is in March. Submit your data today!
Olivier Plaetevoet | Rating Benchmarking | olivier.plaetevoet@globalcreditdata.org
Masterscale Working Group
GCD’s understand their member’s needs and respond to their requests! On 26 January 2021, the masterscale working group was launched and attendees represented 23 international banks. Mike Jacobs (PNC) shared some of his insights and the conversation started. To participate in the next session and the master scale survey, register and be part of this industry-wide challenge.
Nunzia Rainone | Register Here | nunzia.rainone@globalcreditdata.org
Benchmarking: How does your bank compare with peers?
Obligor Name Benchmarking at a glance: this data pool enables member banks to benchmark their predicted credit risk parameters PD, LGD, CCF (EAD) with the estimates of peer banks. Since the beginning of last year, due to the current pandemic, the platform grew both in a number of participant banks and the obligor names that are collected for benchmarking. In the most recent collection, banks submitted more than 19 000 obligor names and the data return of these names has greatly increased, enabling banks to see the internal rating consensus for Corporates, Banks, Financial Institutions and Sovereigns from all over the world.
A reminder that the Obligor Name Benchmarking submission cycle is in full swing. Reporting dates collected newly in this cycle are September, October, November, December 2020 snapshots.
The updated version of the Central List and all the platform documentation are available on the User Guide page of our website.
Hale Tatar | User Guide page | hale.tatar@globalcreditdata.org
Data Quality Project in full swing
Data quality management has been a priority for GCD since its inception in 2004. This year, we set up a working group dedicated to data quality management to provide crucial insight for GCD. Through a relentless specification and improvement of data quality management rules, the GCD database has improved to provide the most consistent and detailed data available for industry-wide appraisal of recoveries and losses.
The Data Quality Project, part of GCD’s Compliance Working Group, focuses on showcasing to member banks that GCD data is compliant with internal and external regulatory requirements.
It aims to do this through two main deliverables in 2021:
- Data Quality Management and Governance Policy: this document reflects the existing governance of the GCD Data Quality Process. It will describe the Data Quality Framework, Processes & Procedures, Roles & Responsibilities and Definition.
- Data Quality Dashboard: a reinforced dashboard illustrating the quality of GCD data. This will include additional metrics on stability, comparability and timeliness.
Erik Rustenburg | Data Quality | erik.rustenburg@globalcreditdata.org
Global Credit Data in The Banker
Following the launch of the Downturn LGD Study, Richard Crecel, GCD’s Executive Director was interviewed by The Banker on the position of banks in the current crisis compared to the previous one.
According to Crecel, banks have entered the current crisis much better capitalised than the last one, meaning they may have the luxury of timing when it comes to realising collateral on the coming surge in non-performing loans.
You can read the full interview here. The interview was featured in Global Risk Regulator.
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