Response to consultation on Guidelines on disclosure requirements under Part Eight of Regulation (EU)

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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?

Templates EU CR5-B and EU CR6 are far superior as they provide risk information. EU OV1-B is only useful as it provides a more detailed breakdown of exposure types.

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.

The really useful information would be to have a split by (a) regulatory book (e.g. for IRB corporate, SME with SME support factor, qualified revolving etc) (b) rating (PD) and (geography) but NOT with three different tables but with the three combined, i.e. how much [qualified revolver] in [Spain] with [PD 1%] etc.

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?

Yes it is but only for the very few analysts who actually feed the parameters in RWA formulas. Standard deviations from these average numbers (including for PD, LGD etc) would also be useful.

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?

Yes it would be useful - but more generally some information on, the rationale for provisions on on PD=100% exposures would be useful. Currently there is close to none.

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?

yes, it would be useful, bore more information on collateral / margining practice would be even more useful

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?

It would be useful to know the amount of own portfolio credit hedging done through derivatives, the maturity mismatches and the resulting regulatory capital relief.

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?

NA

Question 8: Is the separate disclosure of end of period and average values for VaR, stressed VaR, IRC and CRM useful for users?

Yes it is. The first detailed disclosure of market risk RWA in the transparency report (that included stressed VaR, IRC etc) was HUGELY useful - the more detailed the breakdown per book, the more useful.

Question 9: Do you agree with the proposed scope of application of the Guidelines?

The disclosure obligation should apply to any institution, whatever the size, that has listed instruments in the market - equity or fixed income, at the level of the issuing entity (eg. a consolidated subsidiary issuing bonds should fully disclose.)

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)?

It is not clear from the text of the question if this applies to liquidity risk only or not. If not, a detailed NPL template similar to the one presented in the transparency reports would be hugely relevant and useful as this is the area where bank disclosure is the most cahotic and impossible to harmonize from an investor's point of view.

Question 11: Do you regard making available quantitative disclosures in an editable format as feasible and useful?

Forcing banks to disclose all relevant informations in EXCEL files would be the single most useful and important decision that can be made. This would change the effectiveness of Pillar 3 disclosure.

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?

NA

Question 13: Does an early implementation of a selected set of information specified in these Guidelines appear feasible?

NA

Question 14: Which amendments, if any, would you bring to the selected set intended to be included in the recommendation for early application?

NA

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.

Effective enforcement of the guidelines remain unclear as the current requirements are very very very differently applied from one bank to another...

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.

NA

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Axiom Alternative Investments