Response to consultation paper on draft regulatory technical standards on the permanent and temporary uses of the IRB approach

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Q2: Do you agree with the proposed draft RTS regarding permanent partial use of the Standardised Approach (SA) for the exposures specified in Article 150(1)(a) and (b) of the CRR?

The quantitative thresholds should also consider the fact that banks are required to hold a large stock of high quality liquid assets (HQLA) as a result of liquidity risk regulation, typically comprised of government exposures, high credit quality covered bonds and other high credit quality exposures. As a direct consequence of the HQLA being of very high credit quality, defaults are extremely rare and models consequently difficult to build and validate. To allow flexibility, particularly for smaller banks with limited exposure to governments and institutions outside the liquidity portfolio, the quantitative threshold should allow exempetions or higher quantitative thresholds for assets included in HQLA.

Q3: Do you agree with the proposed draft RTS regarding permanent partial use of the SA for the exposures specified in Article 150(1)(c) of the CRR? Which of the two alternative proposals presented in the impact assessment section under ‘Technical options considered’ do you prefer?

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Q4: Do you agree with the quantitative thresholds proposed in Articles 2(1), 3 and 4(2) of these draft RTS? If not, what thresholds do you consider more suitable?

See Q2

Q5: Do you think that separate quantitative thresholds should apply for application of these draft RTS on an individual and on a consolidated basis? Which of the two alternative proposals presented in the impact assessment section under ‘Technical options considered’ do you prefer?

Quantitative thresholds should only be applied on a consolidated basis.

Q6. Do you agree with our analysis of the impact of the proposals in this Consultation Paper? If not, can you provide any evidence or data that would explain why you disagree or which might assist our analysis of the possible impact of the proposals?

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Name of organisation

SBAB Bank AB (publ)