You can actually find questions from BFF on the ECB FAQ page when the new default definition was being introduced where they raise the question of contagion. One solution for them is to apply for the IRB models for PD, LGD and ELBE and thus avoid in future a 150% RW for underprovisioned NPLs (with less than 20% provisions). But this can take years, usually a year or so to develop a model, quarter to validate it internally and then a year or few to get it accepted from the regulator. Better solution for them is to better manage Italian NHS exposure and to prevent sequential days past due cumulating under the same roof facility.
Thanks - can you please link this? Would love to read.
Experts I've spoken to said implementing the IRB models think it's a long shot. Agree - there is a long-tail backbook which they need to collect (i.e. +5 year overdue notes from Southern Italy municipalities in administration).
Can you walk through how you derived the excess land values? Typically I've seen Japanese companies report the asset base including book value of properties, land sqm, etc. A few questions though:
- They don't normally give the split between operational PP&E vs. rental PP&E on the breakdown in assets?
- How are you finding the specific address of the owned buildings to compare to Tochidai?
- How are you estimating the excess land value vs. how much is used in operations?
You can actually find questions from BFF on the ECB FAQ page when the new default definition was being introduced where they raise the question of contagion. One solution for them is to apply for the IRB models for PD, LGD and ELBE and thus avoid in future a 150% RW for underprovisioned NPLs (with less than 20% provisions). But this can take years, usually a year or so to develop a model, quarter to validate it internally and then a year or few to get it accepted from the regulator. Better solution for them is to better manage Italian NHS exposure and to prevent sequential days past due cumulating under the same roof facility.
Thanks - can you please link this? Would love to read.
Experts I've spoken to said implementing the IRB models think it's a long shot. Agree - there is a long-tail backbook which they need to collect (i.e. +5 year overdue notes from Southern Italy municipalities in administration).
Can you walk through how you derived the excess land values? Typically I've seen Japanese companies report the asset base including book value of properties, land sqm, etc. A few questions though:
- They don't normally give the split between operational PP&E vs. rental PP&E on the breakdown in assets?
- How are you finding the specific address of the owned buildings to compare to Tochidai?
- How are you estimating the excess land value vs. how much is used in operations?
1. As far as I'm aware, all the sites are owned. Confirming this via a chat with IR in a couple of weeks.
2. Disclosed in the reports
3. Guestimate