Europejski Urząd Nadzoru Bankowego, Raport EBA z analiz porównawczych ryzyka kredytowego przeprowadzonych w 2022 r.

EBA/REP/2023/09

SUMMARY REPORT ON THE 2022 CREDIT RISK BENCHMARKING EXERCISE

The actions taken at EU level in response to the Covid‐ 19 pandemic, coupled with the support measures adopted by the Member States, have continued to play an important role in explaining the trend of decreasing default rates and decreasing average PD estimates throughout 2021.

The analyses on December 2021 data have shown a decreasing trend in the median of 1 year and 5 years default rate common to all asset classes. This trend is likely driven by the moratoria and the other national support measures implemented in the response to the COVID‐ 19 pandemic. The analyses show that moratoria, public guarantee schemes (PGS) and other support measures were still applied to significant shares of the analysed institutions exposures.

Equally the analyses show a decreasing trend of PDs. However, given the time needed for model recalibration and where relevant model change approval coupled with the principle, published in a...