Stellungnahme DK zu "European Banking Authority’s draft Regulatory Technical Standards (RTS) on the conditions according to which competent authorities may grant permission for data waiver (EBA/CP/2014/02)"

16. Mai 2014

The Regulatory Technical Standards (RTS) specify the conditions according to which the permission may be granted to use data covering a period of merely two years rather than five years (“data waiver permission“) for the estimation of PD’s, own LGDs and own CCFs within the meaning of Article 180(1)h, 180(2)e, 181(2) or 182(3) when implementing the IRB approach.

The following issues already result in a substantial limitation of the eligibility for data waiver permissions:

  • On principle, the so-called low default portfolios (central government, central banks, institutions) shall be exempt from the waiver
  • Compliance with the qualitative requirements set out under Article 6 is mandatory (“longer time series are unavailable“, “appropriate margin of conservatism applied“, “enhanced data input vetting process“)

Furthermore, compliance with the extremely low limits concerning the "total exposure values" and the "risk weighted exposure amounts" of merely 5% is mandatory. In our view, this quantitative requirement is overly restrictive and we advocate in favour of a limit of at least 25%.

First, it is worth noting that the waiver’s underlying rationale which already exists since the CRDI consists in facilitating access by banks to the IRBA. In light of this, to date banks were allowed to use the shorter data history for the entire portfolio. Said transition from the use for the entire portfolio to merely 5% of the portfolio constitutes a very considerable and excessively far-reaching tightening of the rules. […]

Im Blickpunkt

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