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Regulatory Reporting (page 55986)

Regulatory Reporting NPR Question (Page 55986)

Q 1: The agencies seek comment from the industry concerning the feasibility of collecting certain additional information beyond that described in this proposal. The purpose of this additional information is to help identify the causes of changes in credit risk regulatory capital requirements (for example, due to changes in exposure mix or changes in the bank’s assessment of risk).

RBS/Citizens Response

1. Standardizing additional disclosures should attempt to identify macro reasons for changes in the level of risk assets, for example:

    • Purchased portfolios with differing risk characteristics.

    • New lending practices or areas of focus (change in origination strategy)

    • Deterioration or improvement in the credit quality of historical portfolios.

  • 2.

    Citizens does not believe any format would reduce the reporting burden.

To facilitate such analyses, reporting banks would be required to submit additional data items that summarize current and previous risk parameters for exposures that were in wholesale and retail credit portfolios as of the previous reporting period (for example, prior quarter, prior year)—the ‘‘lookback’’ portfolio. The intent of this lookback portfolio approach would be to allow the agencies to better identify reasons for observed changes in regulatory credit risk capital requirements and allow for peer comparisons of changes from period to period.

A lookback-portfolio approach would require additional data collection and processing. For example, banks would need to retain data on the internal risk rating category to which each exposure was previously assigned, and the previous EAD of each exposure. The agencies believe that this data maintenance requirement is consistent with supervisory expectations described in the NPR and proposed AIRB guidance in that banks subject to the Advanced Capital Adequacy


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