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Response to consultation Paper on draft ITS amending the benchmarking Regulation
Go backQ1. Do you agree with the necessity to complement the quantitative data collection with qualitative templates?
Please refer to attached document.Q2. In your view, which aspects, from a LDP perspective, are relevant to investigate from a qualitative perspective, where there might be different practices leading to different impact across institutions?
Please refer to attached document.Q3 Do you have any concerns on the three changes applied to the credit risk IRB templates? In particular, do you believe the extension of the data collection for hypothetical RWA will add a significant burden to the exercise?
Please refer to attached document.Q4: Stakeholders are invited to express their view on the new reference date specification with respect the precedent method to specify the reference dates for the exercise.
Please refer to attached document.Q5: Stakeholders are invited to express their view on the implementation of the Benchmarks Regulation, in terms of which rate to apply in the instruments in the market risk exercise.
Please refer to attached document.Q6. Do you see any issues or lack of clarity in the definition of the data points of template 111.01?
Please refer to attached document.Q7. Do you see the need to adjust or add any variable for the intended outcome? Please specify.
Please refer to attached document.Q8. Would you see any particular problem in filling some of the data requested? For which reasons? Please give your comments related to the PD 12month and the economic scenario in question 7.
Please refer to attached document.Q9. Do you see any issues or lack of clarity in the definition of the data points of template 111.02? Please explain
Please refer to attached document.Q10. Do the categorisations reported above reflect the approach applied by your bank, in incorporating forward looking information? If not, please explain what are the main differences.
Please refer to attached document.Q11. For banks applying Approach 3, what will be, in your view, an appropriate approach for reporting the data related to the PD in scenario 0 (i.e. the PD considered in the application of the impairment requirements under IFRS 9)? Do you think that, (if available) a probability weighted average PD represents an appropriate proxy? Do you think that the PD used for the SICR assessment represents an appropriate proxy? If not, what other approach do you suggest to report this data?
Please refer to attached document.Q12. Do you believe that additional macro-economic variables should be tested in future exercises and if yes, which ones would be appropriate in the context of a benchmarking exercise?
Please refer to attached document.Q13. Do you see any issues or lack of clarity in the definition of the data points of template 111.03?
Please refer to attached document.Q14. Do you believe the reduction of the number of facilities to five significantly reduces the burden of the data collection?
Please refer to attached document.Q15. Do you agree with the list of the three qualitative triggers, or do you believe one indicator currently classified as “5 other indicators” is more important and should deserve a specific field?
Please refer to attached document.Name of the organization
EACB - European Association of Co-operative Banks
