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Response to consultation Paper on specific supervisory reporting requirements for market risk
Go backQuestion 1. The ‘thresholds’ template requires a breakdown of the ‘on- and off-balance sheet business subject to market risk’ into on-balance sheet and off-balance sheet business. Is that breakdown clear, or would you need ad-hoc definitions for differentiating ‘on-balance sheet items’ from ‘offbalance sheet items’ to ensure a proper implementation of the reporting requirements? Are there particular challenges or a burden involved in differentiating between on- and off- balance sheet items?
NAQuestion 2. Are the scope and level of application of the reporting requirements and the content of the templates and the instructions clear?
With regard to the inclusion of positive and negative unweighted delta sensitivities (Columns 0010 & 0020 of template C91.00) we would suggest additional clarity is provided on how to populate these columns for positions where there is an allowance to exclude them from the calculation – namely considering EBA responses to Q&A 2016_2571 and 2017_3314, which relate to treatment of non-delta risk of options in the standardised risk approach, and permissions for delta models for back to back positions in options and warrants, respectively. If these can be excluded from the calculation, does it follow that their unweighted sensitivities should be excluded from the reporting template?Name of the organization
Banking and Payments Federation Ireland
