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The definition of the data points in the templates are clear.
The proposed format is fine for collection of own funds requirements for the sensitivities based method.
We agree with the proposals. For institutions with that have invested in appropriate technology to build the right infrastructure, the additional reporting should not present significantly additional reporting burden.
Yes, we believe this approach is reasonable for institutions that operate across multiple currency zones.
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Delta and curvature risks for foreign exchange risk factors when determining own funds requirements under the base currency approach.
We use FIX, FpML, SWIFT specifications/standards.
We would welcome steps towards a common understanding of information shared between staff and technology across different institutions. For example, minimising the use of different syntaxes and the use of different semantics or interpretation of terms. In addition, efforts to unify the many existing standards would reduce economic friction. We believe incorporation of terms sheets such as in section 5, annex 5 is reasonable.
We believe publication of instrument specifications along with the ability to submit to the Competent Authority would be helpful. Over time, as appropriate data regarding these approaches is available, the industry can arrive at an informed opinion regarding the need for any fine-tuning in this matter.
As long as the additional information is consistent with existing EBA guidance and serves to clarify matters pertaining to aspects such as interpretation and measurement, it would be well received.
Revolut