Response to consultation on RTS on the calculation of Kirb in accordance with the purchased receivables approach
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The references in the text of the draft regulation to “external data or proxy data” are confusing in this respect.
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?
Yes, we do agree.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?
No, we do not see a direct need for a separate treatment of certain corporate exposures.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?
No, we do not agree. The current wording would indeed exclude synthetic securitisations. But in synthetic securitisations, the investor will typically have been involved in an extensive due diligence exercise, including the origination and servicing activities of the seller. This should have provided sufficient information to determine the Kirb of the underlying portfolio. So, for synthetic securitisations, Art. 4(2)(a) should be drafted differently.Question 4: Do you consider that a more detailed definition of proxy data is necessary? If yes, please provide a suitable definition.
We have not seen a definition of proxy data other than Art. 10(1) stating that “Proxy data can be internal, external or pooled data”.The references in the text of the draft regulation to “external data or proxy data” are confusing in this respect.