Response to consultation on draft ITS amending Regulation (EU) 2021/453 with regard to the specific reporting requirements for market risk

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Does this approach work for you? Or do you need any further, or different, guidance regarding the elements of the P&L and the scope of the positions to be covered by that P&L? Which additional specifications could facilitate your compliance with this reporting requirement? Which general methodology would you envisage to allocate P&L to the risk classes of the sensitivities-based method?


Finance Denmark finds that EBA’s proposal presented in the consultation document, to compel all EU banks using the Alternative Standardised Approach for market risk to report profit and loss data for every business day of the quarter constitutes a quite uncalled for additional reporting burden for the many EU banks that do not use the Alternative Internal model Approach for market risk, and for which profit and loss data are not part of the calculation of the capital requirements for market risk.

In the consultation document EBA proposes that all EU banks using the Alterna-tive Standardised Approach for market risk, that is, all credit institutions that do not qualify as “small and noncomplex institutions” as defined in Article 4, point 145 in the CRR, should include daily profit and loss data in the quarterly market risk reporting.

While we acknowledge that some proportionality is considered in the consulta-tion document by way of specifying certain “minimums requirements” regarding the profit and loss data to reported and freedom for institutions to report beyond those minimum requirements, we find that the proposed profit and loss reporting goes beyond the mandate in Article 430b of the CRR for institution that only use the Alternative Standardised Approach and not the Alternative Internal Model Approach. The profit and loss data are not part of the calculation of the capital requirements for market risk under the Alternative Standardised Approach, and should therefore, by principle, not form part of the capital adequacy reporting on a regular basis for these institutions.

Furthermore, despite the proposed proportionally considerations, developing new systems to report daily figures in the quarterly reporting will imply a consid-erable effort and cost for many smaller banks that fail to meet all the conditions for qualifying af “small and noncomplex”.

If EBA finds that profit and loss data from banks, other than banks using the
Alternative Internal Model Approach are needed to assess the calibration of the FRTB-approaches, we would suggest other measures, for ensample ad hoc moni-toring exercises with an appropriate sample of banks participating, rather than adding more reporting burdens on the many European banks that do not use the Alternative Internal Model Approach and do not qualify as “small og noncom-plex institutions”.

(1) specify which element(s) of the proposal trigger(s) that particularly high cost of compliance, (2) explain the nature/source of the cost (i.e. explain what makes it costly to comply with this particular element of the proposal) and specify whether the cost arises as part of the implementation, or as part of the on-going compliance with the reporting requirements, (3)offer suggestions on alternative ways to achieve the same/a similar result with lower cost of compliance for you.

Yes, regarding the reporting of profit and loss data, cf our answer to question 5 and the uploaded response to the consulation.

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Finance Denmark