CP10 (Full Document) - European Banking Authority

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5. ANNEXES ANNEX I Practical framework: model approval Step 1 – Preapplication Crossborder implications · The group has exploratory discussions with individual supervisors about the use of models. · The group expresses a clear intention to move towards the advanced approaches. Tasks or considerations for the Consolidating supervisor ‣ There is no formal requirement that other supervisors need be informed at this stage. However, supervisors are advised to communicate the outcomes of their exploratory discussions. ‣ The consolidating supervisors should advise the relevant host supervisors. Tasks or considerations for the host supervisor ‣ There is no expectation that other supervisors need be informed at this stage, though, at a minimum, informal contact with the consolidating supervisor would be advisable. ‣ Inform the consolidating supervisor that local institutions are contemplating the use of internal models. · Consultative framework ‣ Plan and organise a consultative framework to include: a communication strategy for all supervisors, and a mechanism enhancing a common agreement among supervisors.
· Understanding the extent and nature of the groups’ intentions ‣ Discuss with the group the intentions to implement an internal models approach. ‣ Produce a preliminary assessment of the group’s proposals, including: the readiness of the group, and the adequacy of plans; ‣ Communicate the salient features to the supervisors likely to be affected by the group’s intentions, and inform other supervisors of the group’s plans in accordance with the general communication strategy. ‣ Communicate concerns and issues with the proposed approach. ‣ Need to identify potential disagreements so that supervisors can have an early plan to address. ‣ Collate the concerns and issues of other supervisors with the proposed approach and produce a summary of the principal issues. · Supervisory plan of action ‣ Draw up the supervisory plan in consultation with other relevant supervisors and in cooperation with the group. The plan should include: identification of significant models and proposed rollout plans, the allocation of workload with respect to the significant models; and priority issues;
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CEBS CP 10 11 July 2005 Guidelines
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ANNEXES ...........................
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to use these approaches. 6. The gui
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IRB approach can be given only if t
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approaches for regulatory purposes
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purposes, when the group has submit
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efficient running of the process, u
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and/or 105 of the CRD, subject to t
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58. Institutions intending to move
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translated, supervisors will organi
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76. The issues that supervisors are
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holding company, the competent auth
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· A new approval process shall not
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· Institutions may not be ready to
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2. Asking institutions to notify su
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116. ‘Immaterial’ should refer
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128. The EU Council has proposed th
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should start with inputs, and those
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to be only broadly compliant with t
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institutions to be able to identify
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differentiated if their loss rates
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payments are originating from the s
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any of its subsidiaries in full, wi
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197. As a general rule, the rating
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· Their discounting method results
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grades. In this case, all of the re
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of challenges, including choosing t
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228. In principle, supervisors do n
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prices on defaulted exposures, and
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LGD estimation, they have to be tak
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The exposure value for the followin
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investigating the potential drivers
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Page 83 and 84: Benchmarking the outputs of interna
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Page 89 and 90: · Examining reports from Internal
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Page 103 and 104: Principles and examples 1. The purp
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