Designed and implemented the framework for determining the appropriate regulatory approach (A-IRB, F-IRB, SA) for credit risk across all exposure types at a European G-SIB — including governance, 20+ application forms, and the ECB approval package.
Banks using internal models for credit risk must assess which exposure classes and sub-classes qualify for A-IRB, F-IRB, or must revert to the Standardised Approach (SA). This Permanent Partial Use (PPU) exercise required the client — a European G-SIB with a large and complex credit portfolio spanning corporates, financial institutions, sovereigns, retail, and specialised lending — to conduct a comprehensive review of their regulatory approach across all exposure types and sub-types. The stakes were significant: incorrect classification could result in material RWA impact, and the ECB required a formal approval package demonstrating the bank's rationale, governance, and implementation roadmap. The project also included CRR Article 494d applications for the reversion to SA on exposure classes related to sovereigns, assimilated entities, RGLA (Regional Governments and Local Authorities), PSE (Public Sector Entities), and central banks.
A PPU roll-out is not one decision — it is several hundred exposure-level decisions, each requiring a defensible trail back to pre-defined criteria. We deployed the Ezelman DELIVERY™ framework to stage the programme across 18 months.
Gap analysis of every exposure class under CRR3 Art. 148-150. Materiality thresholds set early.
JST pre-alignment sessions on contentious classes (sovereign-assimilated, RGLA) ahead of submission.
Board-level sign-off on PPU philosophy: capital discipline over model preservation.
20+ application forms built, each with quantitative impact, model evidence, 494d rationale where relevant.
Independent validation on every A-IRB retention decision. SA reversions supported by empirical data.
Internal credit-risk team owns the framework post-approval. Ezelman phased out at month 18.
Approval package filed with full governance trail, executive summary, and sensitivity scenarios.
Selective SA reversion on RGLA and sovereign-assimilated classes released capital previously trapped in IRB model buffers.
Designed the end-to-end PPU determination framework covering all exposure types and sub-types defined in CRR3. This included the decision methodology for A-IRB vs. F-IRB vs. SA assignment, materiality thresholds, data sufficiency criteria, model performance benchmarks, and regulatory text interpretation across ambiguous areas. The framework was designed to be auditable and defensible vis-à-vis the ECB.
Drafted 20+ individual application forms for the ECB, each covering a specific exposure class or sub-class. Forms included regulatory rationale, quantitative impact analysis, model performance evidence, implementation timeline, and governance sign-off. Special attention was given to the CRR Article 494d applications for reversion to SA on sovereign-related exposure classes (sovereigns, assimilated entities, RGLA, PSE, central banks).
Established the internal governance framework for PPU decisions — including the approval committee structure, RACI matrix, escalation protocols, and documentation standards. Each PPU decision required sign-off from the CRO, Head of Model Risk, and Head of Regulatory Affairs before inclusion in the ECB package.
Prepared the comprehensive ECB approval package submitted in September 2025, covering all exposure types. Subsequently managed the Internal Model Investigation (IMI) process — responding to ECB follow-up questions, providing supplementary evidence, and coordinating with internal teams to address supervisory feedback in real time.
Complete methodology document covering A-IRB / F-IRB / SA assignment criteria for all CRR3 exposure types and sub-types, with decision trees, materiality analysis, and regulatory interpretation guidance.
Individual application packages for each exposure class — regulatory rationale, QIS results, model performance evidence, implementation plans, and governance attestations.
Specific applications for SA reversion on sovereign, assimilated, RGLA, PSE, and central bank exposure classes — including quantitative impact, transition plan, and regulatory justification.
Comprehensive RWA and capital impact analysis across all exposure types under the proposed PPU configuration — including Output Floor interaction analysis and sensitivity scenarios.
Committee terms of reference, LoD2 review, RACI matrix, decision logs, and escalation framework for the PPU programme — designed for ECB auditability.
Consolidated submission package including all application forms, governance documentation, capital impact analysis, and implementation roadmap — submitted September 2025.
The PPU programme delivered full ECB approval and zero rework — six outcomes the steering committee tracked from day one:
In September 2025, covering all exposure types.
Drafted and approved through internal governance.
For SA reversion on sovereign-related classes — completed and submitted.
Managed with real-time ECB follow-up coordination.
On application forms post-submission — all accepted by ECB on first review.
By the bank for annual regulatory approach assessments.
No slide-ware, no associate intake. A direct, partner-level read on whether the same playbook applies to your situation — and whether you should hire us, hire someone else, or do it in-house.