Response to consultation on RTS on the calculation of Kirb in accordance with the purchased receivables approach

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Question 1: Do you agree with the requirement that a rating system shall be exclusively used for securitised exposures that the institution does not service, i.e. for the exposures that are in the scope of these draft RTS?

please see the attached AFME Response Letter

Question 2: Should an exception be introduced for certain corporate exposures (e.g. large corporate exposures that the institution may rate using the corporate rating system it uses to rate corporate clients)? Should such exception be limited to the estimation of PD? If yes, what alternative would you propose for LGD estimation?

please see the attached AFME Response Letter

Question 3: Do you agree with the fact that, unlike traditional securitisations, synthetic securitisations cannot meet the general conditions set out in this article and in particular the requirements on indirect control and ownership of the securitised exposures by the institution calculating KIRB?

please see the attached AFME Response Letter

Question 4: Do you consider that a more detailed definition of proxy data is necessary? If yes, please provide a suitable definition.

please see the attached AFME Response Letter

Question 5: Do you consider that the provisions set out in the draft RTS are workable if applied to securitisations of non-performing exposures?

please see the attached AFME Response Letter

Question 6: Do you have any other comments on the draft RTS?

please see the attached AFME Response Letter

Name of organisation

Association for Financial Markets in Europe (AFME)