Response to consultation on amending ITS on the benchmarking of approaches for calculating own funds requirements – 2027 market risk benchmarking exercise
Go back
Q1: Do you see any issues or any missing information that should be required in the new templates suggested for the FRTB AIMA benchmarking exercise (i.e. Annex V & VI)?
NA
Q2: Do you see any issues with specifying the timeline in Annex II (i.e. 4-month postponement compared to 2026 timeline)?
Yes. Given the increasing number of institutions participating in the ASA exercise, the reliance on a limited number of specialised resources may become even more pronounced. Deadlines falling during the summer holiday season (IMV remittance date) could therefore have a disproportionate impact on data quality and institutions' ability to perform adequate controls prior to submission.
Q3: Do you see any issues or unclarity with the reference date for new ASA institution in the exercise as defined in the suggested draft of Article 4.1.(b)?
No.
Q4: Do you see any issues with the new instruments / portfolios introduced in the Annex III?
No.
Q5: Despite some improvements, we note that the instructions set out in Annex I, point JJ, are still not fully followed by part of the submitters. Could you please explain the reasons for this and suggest any changes that could help ensure compliance?
We have not experienced implementation issues with Annex I, point JJ and consider the instruction sufficiently clear.
Q6: Are the instructions and templates clear to the respondents? If not, what should be clarified? Do the respondents identify any discrepancies between these templates and instructions and the calculation of the requirements set out in the underlying regulation?
Yes, the instructions and templates are clear to the respondents.
Q7: Do the respondents agree that the amended ITS on Supervisory Reporting allows to fulfil the requirements and purpose of the Article 78 of the CRD?
Yes.
Q8: What is the information (please refer to single columns) that you see as particularly costly to be provided? Please provide detailed information about the implementation and running costs of the proposed changes, also compared to the current total costs.
We do not see additional costs compared to the current total costs.