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Regulatory Reporting NPR Question (Page 55986) Framework are expected to be able to evaluate and explain changes in risk parameters in order to assess their risk parameter estimation procedures.

The agencies specifically seek industry comment on the following questions:

  • 1.

    What aggregate summary information might banks submit that best describes or characterizes period-to-period migration across internal rating grades or retail segments?

  • 2.

    If such information were required, are there particular formats or other considerations that would reduce the reporting burden for banks?

Q 2: The agencies are considering another alternative reporting treatment with respect to the wholesale and retail portions of the above proposal (Schedules C–R). This alternative treatment would complement the lookback-portfolio approach just described but could be implemented whether or not the lookback-portfolio approach was implemented. Under this approach, banks would submit data according to each of their internal obligor rating grades or segments, rather than in the fixed bands defined in the current regulatory reporting proposal. In this case, each reporting bank could submit a different number of rows corresponding to the number of internal risk rating/segmentation categories employed by that bank for the given portfolio.

The agencies specifically seek industry comment on the following question:

1. Would reporting burden be lessened if banks submitted data using internally-defined obligor

RBS/Citizens Response

The proposal would not lessen the burden. On the contrary, Citizens believes it would increase the burden as users of this disclosure would seek consistency of presentation between bank holding companies and would seek to understand how one banking entities portfolio might fit in to a competitor’s internally defined grades or segments.

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