Submission #17

Institute of International Finance

Question 1: Do you have any concerns around the workability of the suggested approach (e.g. data availability issues)? Please see attachment

Question 2: Do you see any significant differences between LGD and CF estimates which should be reflected in the approach used for the economic downturn identification? Please see attachment

Question 3: Is the concept of model components sufficiently clear from the RTS? Do you have operational concerns around the proposed model components approach? Please see attachment

Question 4: Do you have any concerns about the complexity around the dependency approach proposed for the identification of the nature of an economic downturn? Is it sufficiently operational? Please see attachment

Question 5: Do you agree with the proposed approach for computing the time series of the realised model component referring to the realisation of the model component rather than to the year of default? Please see attachment

Question 6: Do you envisage any situation where a one year duration is not suitable of capturing the economic downturn at the economic factor level? Please see attachment

Question 7: Do you have any concerns about the approach proposed for the identification of the severity of an economic downturn? Is it sufficiently operational? Please see attachment

Question 8: Do you think that more details should be included in Article 2(3) for the purposes of the evaluating whether sufficiently severe conditions are observed in the past? Please see attachment

Question 9: Do you think Article 6 should pin down the steps for the joint impact analysis described in this text box? Please see attachment

Question 10: Do you have any concern around the proposed approach about the identification of the final downturn scenario? Please see attachment

Question 11: Do you see any issue with the estimation of the model components for downturn periods which are not in the data base of the institution (e.g. in step 3 the case where the estimation of cure rate for 2001 is performed on the basis of the dependency assessment described in Article 3(2)(e) and (f))? Please see attachment

Question 12: Do you think the same approach for the identification of the final downturn scenario proposed in this text box for LGD could be adopted also for the purpose of downturn CF estimation? Please see attachment

Question 13: Do you think the draft GLs should describe in more detail the downturn adjustment methodology? Please see attachment

Question 14: Do you think simpler alternative approaches for downturn adjustment should be considered in the spirit of proportionality? Please see attachment

Question 15: What is your view on the alternative approaches? Please provide your rationale. Please see attachment

Question 16: Which approach are you currently using for estimating downturn LGDs? Please see attachment

File Upload EBA Consultation Paper on Economic Downturn_Final.pdf

Name of organisation Institute of International Finance