MAPS: Historically Recorded Losses Archive

Engineering's solution is Bankit Compliant, in line with Banca d'Italia's statements on legislation and technical specifications.

On 31st December 2012, Banca d'Italia issued a document for consultation on the "historically recorded losses archive on default positions". The document carries the requests that Banca d'Italia will make in a new report.

The aim is to construct a national archive that collects data on credit collection carried out by supervised intermediaries and that allows the supervisory authorities to calculate the historically recorded loss rates on positions classified as being in default (historical LGD), via the application of the workout method.

Building this archive depends on the estimation of expected losses that the intermediaries will be asked to make as part of the new accounting model, to replace the current incurred losses model.

All Italian banks (including overseas branches) and Italian financial brokers must take part in building this archive, regardless of the method used to calculate the levels of assets required for credit risk (standard, basic lrb or advanced lrb). For those banks that apply the advanced method (AIRB banks), the reporting also has information supervision purposes.

Engineering's solution is Bankit Compliant, i.e. in line with Banca d'Italia's statements on legislation and technical specifications and provides for:

  • the definition and population of an analytical data base with historical retrieval of deteriorated credit
  • monthly feeding of current positions
  • the production of summary indicators (Bankit entries and management reports for internal use),

addressing some critical points, such as:

  • identification of archives that contain historical information with sufficient granularity.
  • standardization of information (in time and space)
  • guarantee of consistency with any internal Basel models
  • guarantee of consistency with Risks Center
  • guarantee of consistency with Balance Sheets.