No. The request for legal opinion not only for each jurisdiction where the movable property is registered but also where it could move in time is a prescription that can entail high effort and is not considered an added value; in our Group the case refers only to the leasing which constitutes a contained part of the portfolio.
Yes. In our LGD estimation model the records with funded credit protection different from real estate are not included in the final LGD grid by pool
No. We only observe that we are an AIRB institute but we don't have an internal model for the haircuts on real financial collateral but we use the regulatory haircuts.
We use the modelling approach (art.29a); for the part of exposure secured by UFCP of a no-IRB guarantor we use the risk weight applicable under the Standardised Approach as of art.29b if convenient
Yes. The main concern refers to point 1 shown in the explanatory box. The art. 29b (STD on AIRB) approach must be an option to be choosed in case of convenience and not an obligation. Penalizing the presence of a guarantee could lead to management anomalies of non-activations of guarantees valid for
No. In order to define the guarantee driver in the estimation of the LGDS model, all the registered guarantees are used without verification of elegibility (the information is not present in the historical series). This approach is conservative: to include in a guaranteed cluster something for which the CRM may not affect recoveries (like ineligible collateral) it put in that cluster positions with higher LGDS because actually unsecured; this approach not affect the unsecured cluster with locations that might instead have a typical recovery process of the guaranteed records. The decision on the two approaches (the above one that is a priori conservative without expensive refinements or the art.31 based on only elegible credit protection but with the effort of monitoring activities and any adjustments) must be a choice of the institute according to its internal evidence.
Only eligible CRM is used in application for the calculation of regulatory requirements
No. In the LGDS model, all the recoveries are included in accordance with the recordings made by the bad loans office; in fact it is the operator to impute cash flows according to the rules of the Civil Code. It's possible to register the origin of the collection but it's not an information directly used in the model in fact the credit protection is included as a cluster to be assigned to the Whole record and the LGDS observed is calculated by facility based on all recovery irrespective of provenience.
Yes. No observations.
We do not use the substitution approach in art29a.
No. The cases reported are not clear; they would have been welcomed examples on less theoretical cases but more likely to be found in application.