For its consolidated entity at home it would need to calculate only the probability of default. The U.S. subsidiary might well find it a real challenge to gather the needed data and generate the LGD and EAD parameters required in the United States; doing so would certainly add cost, even for an entity using the full foundation approach at home.
The U.S. authorities did not make their decision to require the advanced approach lightly. Given the structure and size of our markets, we believe it necessary that large entities operating here use sophisticated techniques for risk measurement and management that rely on bank estimates of all the risk variables required by the advanced approach. Nonetheless, we understand our global responsibilities for cooperation.