Response to consultation on Guidelines on disclosure requirements under Part Eight of Regulation (EU)
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We are happy to respond on the implementation effort on a revised and streamlined EBA proposal going forward which we urge the EBA to do in due course.
Question 1: Do users prefer a comprehensive template providing a breakdown of capital requirements and RWA by exposure classes for credit risk in Template EU OV1-B, or would they prefer to have the detailed breakdown by exposure classes provided in Template EU CR5-B for the Standardised approach and Template EU CR6 for the IRB approach?
In general we recommend to reduce the disclosure requirements and only show aggregated key figures as already stated in Part B. Nevertheless, when comparing both solutions we prefer Template EU OV1-B instead of CR5-B or EU CR6.Question 2: Do members prefer a breakdown by exposure classes for Article 442 CRR using the granularity from COREP, the CRR or the Transparency exercise? In case users prefer a combination of the different exposure classes available in these breakdowns, please indicate the combination you would favour.
Beside our general concern about the granularity the disclosures shall have, we prefer a matching to the COREP data however only on an aggregated level.Question 3: Do you believe information on the exposure-weighted average maturity by PD grade is useful for understanding of an institution’s IRB RWA?
We do not comment on this question as we do not use IRB approach. However, please consider our general concerns regarding the granularity of future disclosures.Question4: Would it be feasible to breakdown the value adjustments and provisions by PD grade for the fixed PD grade bands that are provided in the masterscale? Would this information be useful to users?
We do not comment on this question as we do not use IRB approach. However, please consider our general concerns regarding the granularity of future disclosures.Question 5: Is information on the sources of counterparty credit risk (breakdown by type of transactions) for exposures measured under the Internal Model Method useful for users? Should this breakdown be expanded to the other methods of computation of the exposure value?
As already stated above we strongly recommend reducing the disclosure requirements in general as well as their granularity. Any further extension in our view does not add actual value; therefore no further breakdown should be required regardless of the risk type.Question 6: Is the split of credit derivatives between used for the institution’s own credit portfolio and one for credit derivatives used in the institutions’ intermediation activities useful or relevant to users? What definitions or policies do you currently use to identify credit derivatives used for your own portfolio, and credit derivatives used for your intermediation activities?
As already stated above we strongly recommend reducing the disclosure requirements in general as well as their granularity. Any further extension in our view does not add actual value; therefore no further breakdown should be required.Question 7: Which impediments, if any, including issues of availability of information, currently prevent you from disclosing the information on total (Standardised plus Internal model approaches) capital requirements by types of market risk as required under Article 445 CRR or are likely to render the disclosure of Template EU MR1-A unduly burdensome?
Due to the absence of market risk in our business we have no problem with the current disclosure requirements regarding market risk. However, also here further reduction of information details should be considered.Question 8: Is the separate disclosure of end of period and average values for VaR, stressed VaR, IRC and CRM useful for users?
We see no further benefit of the additional disclosures as proposed. Thus, please do not implement any intended separate disclosures. Once again, we strongly recommend reducing the disclosures instead of blowing them up.Question 9: Do you agree with the proposed scope of application of the Guidelines?
Please clearly limit the scope of application to G-SII, O-SII and any other institution on basis of supervisory decision and do not use expressions like “all institutions” which could be misinterpreted. We strongly recommend not expanding the scope of application - neither now nor in the future - to other institutions which are obliged to disclose certain information according to Part 8 of CRR.Question 10: In case you support the development of key risk metric template(s) that would apply to all institutions, which area of risks and metrics would you like to be covered in such template(s)?
We see no further benefit of the additional disclosures as proposed. Thus, please do not implement any intended separate disclosures. Once again, we strongly recommend reducing the disclosures instead of blowing them up.Question 11: Do you regard making available quantitative disclosures in an editable format as feasible and useful?
As already stated above, we strongly urge to reduce the disclosure requirements as we do not see any additional value in an extended disclosure framework. This particular adjustment of editable formats of disclosures bears the risk that disclosures are modified by third parties without any authorisation and knowledge of the related institution.Question 12: In case you do not support making available all quantitative information specified in these Guidelines under an editable format, which subset of quantitative information should in your views be made available?
As we disagree to the approach of Q11, we strongly reject any quantitative information disclosed under an editable format.Question 13: Does an early implementation of a selected set of information specified in these Guidelines appear feasible?
We disagree to the enhancements in total as such we also disagree to an early implementation of any selected set of information. It adds more complexity and increases the implementation efforts substantially. Any adjustment on the disclosure framework has to be implemented with a reasonable implementation phase-in.Question 14: Which amendments, if any, would you bring to the selected set intended to be included in the recommendation for early application?
We disagree to any earlier application due to increasing requirements, irrespectively of the necessity of additional information at all.Question 15: Do you agree with the content of these Guidelines? In case of disagreement with specific parts of these Guidelines, please outline alternatives regarding these specific part(s) to achieve the implementation of the revised Pillar 3 framework in a fully compliant way with the current CRR requirements.
We do not have comments on specific parts. In general, we once again want to point out that in our view the massive enhancement of the disclosure requirements proposed overshoot the mark of comprehensive information for the public. In addition, the legal basis for certain adjustments is at least unclear.Question 16: Do you agree with the impact assessment? In case of disagreement, please identify areas where costs and benefits are misstated or suggest alternative options.
As already stated in Part B the implementation of any additional disclosures will add additional burden to implement, prepare and to disclose while the added value for the public is at least doubtful. Thus, we recommend to reassess and review the draft guidelines and in this line we strongly urge to reduce the disclosure requirements instead of increasing them as the EBA intents to do.We are happy to respond on the implementation effort on a revised and streamlined EBA proposal going forward which we urge the EBA to do in due course.