Response to consultation on draft ITS on Pillar 3 disclosure

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Question 21: Do the respondents consider that the “mapping tool” appropriately reflects the mapping of the quantitative disclosure templates with supervisory reporting templates?

The formula in Pillar 3, template OV1, line 3 states: {C 02.00, r0250, c0010} - [{C 08.01, r0040, c0260, s0002} + {C 08.01, r0050, c0260, s0002} + {C 08.01, r0060, c0260, s0002} + C 08.01 r0080, c0260, s0002}] + {C 02.00, r0450, c0010}

Meaning that it takes the total F-IRB REA amount, subtracts the F-IRB applicable counterparty credit risk and slotting approach amounts and ultimately adds IRB Other assets REA figure from C02.00, reported in line 450. However, line 450 in C02.00 does not distinguish between Advanced and Foundation methods, rendering this formula incorrect - in our case, we have a reporting unit that only applies the advanced method and no foundation method and therefore in Pillar 3, template OV1, line 3 we get a figure that represents IRB Other assets which are all classified under the advanced method. Any plans to review this formula or amend the C02.00 template for it to have separate lines that distinguish how much of the other assets exposure is classified under AIRB and FIRB methods?

Name of the organization

Danske Bank