Response to consultation on the ITS on Supervisory Reporting with regard to IRRBB reporting
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In the NII, the desired presentation of contingent liabilities is not clear to us (it seems not always clear, e.g. split between short / long position).
If necessary, a step-by-step expansion of the data is appropriate (The step from the current reporting system (rather few data requirements) to the requirements from the consultation paper is extreme and, in our view, requires a high level of implementation effort).
Therefore, we cannot fill in the proposed reporting form in this respect. This also applies to the other forms that provide for a separation or separate reporting of contractual and expected positions.
Question 1: Are the instructions and templates clear to the respondents? More specifically, do respondents consider that all definitions are unambiguous and accurate (e.g. linear and non-linear derivatives, contingent assets and liabilities, total assets/liabilities with impact on MV, etc)?
The instructions and templates are essentially clear.In the NII, the desired presentation of contingent liabilities is not clear to us (it seems not always clear, e.g. split between short / long position).
Question 2: Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?
We did not find any deviations, but the level of detail in the reports exceeds the information needed to determine the values required in the guidelines. In our opinion, it is not stated in the guidelines that all data to be reported must also be determined (e.g. % rate of options; breakdown into behaviour-based cash flows and legal cash flows, disclosure of nominal values and book values, etc.).Question 3: Do the respondents agree that the amended ITS fits the purpose of the underlying regulation?
Overall, the reporting fulfils the purpose of obtaining the information required according to the Guidelines, but in our view the planned reporting system exceeds the requirements of the Guidelines with regard to the level of detail and the data to be reported (see question 2).Question 4: How many full-time equivalent (FTE) employees does your institution expect to involve in the implementation for how many months in order to report in a compliant way? Please provide indications for specific templates and options relevant for your institution. Please also indicate whether the same implementation will be used by many reporting institutions such that costs are shared among them.
It is not yet possible to say how many FTEs the topic would employ. The implementation effort would be increase, as some institutions would have to increase the granularity in their own system and collect additional information. The effort relates less to the filling of the reporting sheet and more to the upstream systems.Question 5: What technical and procedural dependencies does the implementation of the ITS imply for your institution? How do they affect the time schedule of the implementation?
As described in question 4, the granularity must be increased in the institutions systems and additional information must be collected. The required data is not currently available in this form. Therefore, IT effort is necessary to implement the requirements accordingly, and the possible implementation date also depends on the availability of IT resources.Question 8: Do respondents perceive that the reporting requirements are proportionate for institutions other than large institutions and small and non-complex institutions (‘other’ institutions)? Is there some quantitative information contained in Templates J 02.00, J 03.00 and J 04.00 that is overly burdensome? Is the expected frequency for templates J 02.00, J 03.00, J 04.00 and J 08.00 feasible and proportionate? How could proportionality be further improved for these institutions?
In our view, the data requested from the large institutions is clearly too granular. In our view, a restriction to the data collected by the small institutions would also be sufficient for the large institutions to get a good picture of the interest rate risks.If necessary, a step-by-step expansion of the data is appropriate (The step from the current reporting system (rather few data requirements) to the requirements from the consultation paper is extreme and, in our view, requires a high level of implementation effort).
Would respondents propose a different approach to reduce the reporting costs (e.g breakdown in rows by fixed/floating rate instrument, or instead of having it in a different dimension duplicate the columns of the panel to fit fixed and floating in different columns)? Please elaborate.
The procedure chosen (separate templates for different types of instruments) seems to us to be very complex. From our point of view, the benefit is questionable. For internal control and monitoring, we currently do not differentiate between variable and fixed-interest products.Question 11: Do respondents currently compute the figures in column 0020 for internal monitoring and/or supervisory reporting? If not, do respondents perceive that column 0020 adds considerable reporting costs in order to calculate these figures (please consider that it would only be reported for the aggregate of all currencies)? Would respondents propose a different approach to reduce the reporting costs? Please elaborate.
The desired division into contractual cash flows/holdings/cash values and expected cash flows/holdings/cash values would not only be extremely time-consuming, but would not make sense at all for our business model. In Bauspar-contracts, the options are part of the contract, contracts without options do not occur in reality and cannot be simulated/created. The basis for the management of a building society is the collective simulation, which takes into account customer behaviour, is required by the German Bausparkassen Act and is audited by the auditor. The data from the collective simulation are the basis for risk measurement.Therefore, we cannot fill in the proposed reporting form in this respect. This also applies to the other forms that provide for a separation or separate reporting of contractual and expected positions.