BNY Mellon’s main concern in relation to the draft ITS is the application date of the requirements. We recommend that the application date is changed to 1 June 2021, so
that the first reference date is 30 June 2021.
This would align the first reference date with the other projected COREP first reference dates.
This will enable institutions moving to the Alternative Standardised Approach to Market Risk, to implement all changes to the COREP reporting requirements to the same
timeframe, and to provide a sufficient period for design and testing of systems and software used for reporting purposes.
We would therefore recommend that in Recital (5) and Article 6 of the draft ITS, the date of “1 March 2021” is replaced by “1 June 2021”. If this change is made, the
derogation in Article 6 would no longer be required.
Subject to our response to question 1, we did not have any further comments.
We have provided some general comments, and suggested some drafting changes, in our submitted letter.