Update to ICC/GCD Performance Guarantees Paper

This paper assesses the empirical level of Credit Conversion Factors (CCF2) for Performance Guarantees as referred to in the PRA RULEBOOK (CRR) INSTRUMENT [2023] Article 1113.

As part of this update, the numbers have been refreshed with the latest collated data by Global Credit Data (GCD)4 from its consortium member banks. The total GCD defaulted data set covers cases where the borrower has defaulted (using the Basel definition). The lending footprint, facilities, and borrower types as well as collateral practices of the GCD member banks are merged in the database.

Click here to read the ICC United Kingdom/GCD 2023 update to the ICC/GCD 2022 Performance Guarantees Paper