Response to discussion Paper on the future of the IRB Approach
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2. What would you consider the areas of priorities?
Please refer to the attached letter from the BBA3. Do you consider the proposed timeframe reasonable? In particular do you consider reasonable the proposed timeline for the implementation of the changes in the area of: a. definition of default; b. LGD and conversion factor estimation; c. PD estimation; d. treatment of defaulted assets; e. CRM?
Please refer to the attached letter from the BBA4. Are there any other aspects related with the application of the definition of default that should be clarified in the GL?
Please refer to the attached letter from the BBA5. Do you have experience with adjustments of historical data? What are the methods that you used to adjust historical data, including both internal and external data?
Please refer to the attached letter from the BBA6. To what extent is it possible to adjust your historical data to the proposed concept of materiality threshold for the purpose of calibration of risk estimates?
Please refer to the attached letter from the BBA7. What is the expected materiality of the changes in your IRB models that will result from the proposed clarifications as described in section 4.3.2?
Please refer to the attached letter from the BBA8. Do you consider the direction of the proposed changes adequate to address the weaknesses and divergences in the models across institutions?
Please refer to the attached letter from the BBA9. Are there any other aspects related with the estimation of risk parameters that should be clarified in the EBA guidelines?
Please refer to the attached letter from the BBA10. Do you have dedicated LGD models for exposures in default that fulfil the requirements specified in section 4.3.4.(ii)?
Please refer to the attached letter from the BBA11. Do you consider the direction of the proposed changes adequate to address the weaknesses and divergences in the treatment of defaulted assets across institutions?
Please refer to the attached letter from the BBA12. What else should be covered by the GL on the treatment of defaulted assets?
Please refer to the attached letter from the BBA13. What are the impacts for the institutions that should be considered when specifying the conditions for PPU and roll-out?
Please refer to the attached letter from the BBA14. Do you expect that your organisational structure and/or allocation of responsibilities will have to be changed as a result of the rules described in section 4.3.5?
Please refer to the attached letter from the BBA15. Do you agree that CRM is a low priority area as regards the regulatory developments?
Please refer to the attached letter from the BBA16. Are there any other significant intra-EU or global discrepancies?
Please refer to the attached letter from the BBA17. Do you agree that the area of disclosures needs to be strengthened, in particular with regard to disclosures related with the benchmarking exercise, for instance by publishing them on the EBA website?
Please refer to the attached letter from the BBA18. Would you support EBA Guidelines targeted at disclosure requirements related with the IRB Approach and taking into consideration the proposals of the Basel Committee on those requirements? Which current disclosure requirements should be given the priority? What should be the timetable for such Guidelines?
Please refer to the attached letter from the BBA19. Would you like to see any modification of the reporting framework implemented in terms of IRB exposures?
Please refer to the attached letter from the BBA20. What would you consider an appropriate solution with regard to the definition and treatment (modelling restrictions) of the low default portfolios?
Please refer to the attached letter from the BBA21. How would you ensure appropriate use of the IRB Approach in a harmonised manner without excessive concerns of the so called ‘cherry picking’?
Please refer to the attached letter from the BBA22. Do you see merit in moving towards the harmonisation of the exposure classes for the purpose of the IRB and the Standardised Approach?
Please refer to the attached letter from the BBA23. Would the requirement to use TTC approach in the rating systems lead to significant divergences with the internal risk management practices?
Please refer to the attached letter from the BBA24. Do you agree that the possibility to grant permission for the data waiver should be removed from the CRR?
Please refer to the attached letter from the BBA25. Are there any other aspects of the IRB Approach not discussed in this document that should be reviewed in order to enhance comparability of the risk estimates and capital requirements?
Please refer to the attached letter from the BBAUpload files
BBA_response 5 May_to_EBA_DP_Future_of_IRB.pdf
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