Submission #5

Primary tabs

View(active tab)

Association for Financial Markets in Europe

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?

A comprehensive template is preferred over providing detailed breakdown in EU CR5-B and EU CR6.
See Letter for more detail.

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. COREP
See Letter for more detail

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?

Q3 & 4. Would provide a detailed view of a bank’s book profile, which is a point in time view of a bank’s business plan and considered proprietary and market sensitive.
See Letter for more detail

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?

Q3 & 4. Would provide a detailed view of a bank’s book profile, which is a point in time view of See a bank’s business plan and considered proprietary and market sensitive.
See Letter for more detail

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?

We have concerns over the feasibility of providing this information given the scenario and probabilistic nature of IMM exposure calculations.
See Letter for more detail.

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 suggested alternate MR1-A template in letter.

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

We believe the scope of application should remain limited to G-SIIs and O-SIIs and national authorities should not have the discretion to apply more widely. In addition, we believe it necessary to ensure the Guidelines do not contradict Article 13 that limits the disclosures regarding significant subsidiaries. Furthermore, we believe a seperate disclosure of non-deducted insurance participation should not be required.
See Letter for more detail.

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)?

We are supportive of a template, but believe the BCBS Phase II consultation on Pillar 3 should be finalised and form the basis of future consultation on the structure and detail of the template.
See Letter for more detail.

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

Disclosure in an editable format is feasible, however, it will be difficult to achieve in the timeframe outlined. As such, we believe this requirement should form part of a future consultation, allowing firms to first concentrate efforts on ensuring compliance with the revised Pillar 3 framework and the CRR,
See letter for more detail.

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

No, given templates are still being consulted on, and the EBA subsequently will require time to finalise the guidelines, the final form of templates is unlikely to be finalised earlier than late 2016. This will leave insufficient time to follow due process without significant disruption to other year-end reporting obligations.
See letter for more detail.

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. See Letter for detail.

Upload files AFME response to Consultation on Guidelines on disclosure requirements under Part Eight of Regulation (EU).pdf

Name of organisation Association for Financial Markets in Europe