Response to cP on EBA launches consultation on technical standards on the standardised approach for counterparty credit risk
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Overall, we tend to prefer the 1st approach proposed.
Which one of the three options (option 4a: 1 bp, option 4b: 0.1% or option 4c: 1%) do you think is more appropriate as a threshold? Please provide the rationale for the chosen option.
0.1% or 1% as it moves the interest regime a bit farther away from zero.Please provide examples of cases where the possibility to set the shift ? according to the prevalent market conditions (option 4) might: - provide some benefits - raise some concerns
We have operational concerns, e.g. a quoted value of lambda being below the strike of an entered trade.Do you consider necessary an adjustment to the supervisory volatility parameter ? as defined in Article 5? In the case an adjustment is considered necessary, how should it be carried out?
According our opinion an adjustment is not needed as the prescribed volatility assumptions seems to be a much cruder approximation anyway.Do you think the specified method for determining whether a transaction is a long or short position in a material risk driver is adequate? If not, please provide an explanation.
The method is fine, but we think we will be able to map long/short by the trade definitions. We want to avoid to have to update the setting based on daily sensitivity computations.Overall, we tend to prefer the 1st approach proposed.