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GCD's Mission is to help banks understand and model credit risks. The comprehensive data pools are collected over a decade and distributed back to members for their own research and modelling.

 

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GCD is a unique data consortium that owns banks internal data for both PD and LGD. GCD’s data pools support the key parameters of banks’ credit risk modelling: Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD).

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CCF for Performance Guarantees and Claims – evidence from ICC and GCD

Posted
Updated
ByMichael Dhaenens

Description:

ICC members active in trade finance have collected large scale data on the claim and drawing rates of Performance Guarantees (i.e. Bid, Advance Payment, Performance and Retention) and financial guarantees, showing very low drawing and pay out rates, due to the nature of  these products which only pay out when there are failures in the underlying contract/agreement 

GCD members have collected similar data on the drawing rates of performance bonds and guarantees after the obligor has gone into default. This data shows higher but similar drawing rates, reflecting that even after a company defaults, most commercial guarantees do not need to be claimed as either the underlying contractual obligations have been carried out to the satisfaction of both parties to the commercial contract or the business ceases and both parties have come to a mutual agreement without a claim under the guarantee being enforced.

These data together support an average Credit Conversion Factor (CCF) of less than 10% which in turn supports the maintenance of a 20% downturn EAD when calculating Risk Weighted Assets for capital purposes.

You can donwload it on ICC Website here

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