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?

Please see attached document.

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.

Please see attached document.

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?

Please see attached document.

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?

Please see attached document.

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?

Please see attached document.

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?

Please see attached document.

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?

Please see attached document.

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

Please see attached document.

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

Please see attached document.

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)?

Please see attached document.

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

Please see attached document.

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?

Please see attached document.

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

Please see attached document.

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

Please see attached document.

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.

Please see attached document.

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.

Please see attached document.

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Name of organisation

EACB - European Association of Co-operative Banks