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Alpha Bank SA

MULTIPLE INCLUSION OF ADJUSTMENTS WHEN CHANGING BUCKET

According to 4.2.2.2 of ANEX II “Reporting on own fund and own funds requirements”, for rows 930-934, adjustments should be categorized to loss amount ranges. Paragraph ( c ) states that if a loss adjustment entails a change in the range, it should be reported in both the old and the new range. In this way adjustments are double counted for different categories. Please provide us an explanation of the reason why such a calculation is necessary.
1st Example: There is an old event of 19900€ and during the current reporting period there is an adjustment of 300€. This means that the event is now categorized in bucket [20000, 100000] but before the last adjustment it was included in bucket [10000, 20000).
Please clarify if this adjustment should be included in buckets [10000, 20000) and [20000, 100000].
2nd Example: There is an old event of 9500€ and during the current reporting period there is an adjustment of 600€. This means that the event is now categorized in bucket [10000, 20000] but before the last adjustment it was only included in 930 row.
Please clarify if this adjustment should be included two times in the 930 row, as this row also includes adjustments of losses below 10000€.
3rd Example: There is an event of 15000€ reported in 2011. During 2014, there was an adjustment of 6000€. In the current reporting period there is also an adjustment of 100000€. Please clarify what are the amount buckets in which the 100000 € adjustment should be accounted. Also, please define the way we should treat events of multiple adjustments during different reporting periods?

INTERNAL DATA COLLECTION THRESHOLD

Internal data collection threshold may be different for each institution, risk category and time span. Thus, information filtered by internal data collection threshold directly affects comparability between institutions and renders certain variables inaccurate or even useless for trans-institutional statistical analysis and modeling. The comparability may be inaccurate even for the same institution across time if the data collection thresholds are not fixed.
The fields based on amount bins ([0 ,10,000],(10,000,20,000] etc) may give the capability to homogenize some of the data across institutions for each event type. Nevertheless, in most cases they wouldn’t be accurate and couldn’t be homogenized for each business line.

MAXIMUM SINGLE LOSS

Please clarify if the Maximum Single Loss field should consider both gross loss amounts and loss adjustments reported in the current period in its calculation and if the Maximum Single Loss could be an adjustment. According to remark 126 of the ANNEX II “Reporting on own fund and own funds requirements”, gross loss amount is defined as the amount of events accounted for the first time in the current reporting period. According to remark 128 ii) the maximum single loss could be either a gross loss amount or an adjustment.

SUM OF THE 5 LARGEST LOSSES

Please clarify if the five largest losses of the current reporting period could include adjustments. Remark 129 is not clear about the field.
Angeliki Tzanni
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