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geographic spread, we are clearly interested in how the proposals will be implemented within the US and, importantly, in driving consistency in international implementation.

Whilst we support the US agencies objectives of moving forward with Basel II, we believe that elements of the NPR should be revisited before the rules are finalized. We believe that the US regulators should avoid divergence from the international standards agreed at Basel - this is important for a range of practical implementation, competitive and home-host issues. The key areas that we believe should be reconsidered are:

  • Different definitions of default, capital requirements for defaulted exposures, LGD, capital floors and Pillar 3 disclosures.

  • Possible changes in aggregation, should overall capital fall by 10%.

  • Loss of SME exposures as a separate category and the PD/LGD approach for Equity exposures

  • More conservative treatment of EAD.


Detailed responses to the various questions raised in the NPR are covered in the attached appendix. These reflect the views of the RBSG, Citizens and Greenwich Capital Markets. In addition to these comments, we have also contributed to the industry response being submitted by the Institute of International Finance (IIF). We support their conclusions which are consistent with these views.

We hope that these comments are useful to you in taking forward the implementation of the new Basel Accord in the United States. Please do not hesitate to contact either me or Bob Gormley, Chief Risk Officer, CFG, should you wish to discuss any of these points in more detail.

Yours faithfully,

David Thomas Head of Basel II

Direct tel: + 44 20 7085 1192

Direct fax:

  • +

    44 20 7085 4106



c.c. Bob Gormley

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