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Response to consultation on ITS amending Commission Implementing Regulation EU 2016-2070 on Benchmarking
Go backDo you agree that the combined split of rating and country in template C103 can generally be replaced by a simpler rating split per model (i.e., rating distribution) in template 105, which will cover all models in the scope of the benchmarking exercise (HDP and LDP) without losing explanatory information on the variability of benchmarking parameters? Is there any data point collected in the new template 105.04 that involve significant IT costs or burden and should be dropped?
We strongly support the proposal as it supports proportionality. Alternatively we suggest that the country split should be conditional to a threshold i.e. only country specific portfolios should be reported in case the exposures in the given country represents more than e.g. 5% of the total exposures.Do you agree that SLE portfolios should be reported in a separate exposure class? Do you agree that the proposed level-2 breakdown on (a) the proposed sectors of counterparties and (b) the proposed types of exposures (i.e. categories of specialized lending) might be relevant components to explain the variability of risk parameters? Which option do you prefer with respect to the rating split under the slotting approach?
-Do you expect that the LDP sub-portfolio characterized by eligible covered bods will cover a material share of exposure? Do you expect that the separation of these exposures can contribute to explain RWA variability?
-Do you think the alternative portfolio split would provide for a higher explanatory power as regards RWA variability induced by differences in CRM usage?
-Do you expect that the proposed NACE Code breakdown for HDP sub-portfolios will provide more explanation for RWA variability for a material share of exposure? Do you expect that the separation of these exposures can contribute to explain RWA variability in the according HDP portfolios or do you consider the current split using only NACE code F sufficient? Does the selection of a subset of NACE codes significantly reduce the burden of the data collection (compared to a comprehensive collection of all NACE codes)?
Breakdown by NACE code should naturally provide more information about differences of RWA variability and its components between industries and thus this breakdown should have sufficient explanatory power to justice the extra IT burden from splitting the portfolios (compared to providing specific information only for F).Do you expect that the proposed ILTV buckets for HDP sub-portfolios secured by immovable property will provide more explanation for RWA variability for a material share of exposure? Do you expect that the separation of these exposures can contribute to explain RWA variability in the according HDP portfolios?
-Do you agree with the Additional pricing information requested? Please, provided detailed explanation for your answer.
-Do you agree with the simplification introduced in the time setting of the references date for the instruments?
-Do you have any concerns on the clarity of the instructions?
-Can you please provided detailed explanation of the instruments that are not clear and a way to clarify the description?
-Name of organisation
OP Financial Group
