Axiom Alternative Investments

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.
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.
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.
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.
yes, it would be useful, bore more information on collateral / margining practice would be even more useful
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.
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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.
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.)
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.
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.
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Effective enforcement of the guidelines remain unclear as the current requirements are very very very differently applied from one bank to another...
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Jerome Legras
A