Response to consultation Paper on draft RTS and ITS on benchmarking portfolios
Go back
Q2. Do you consider that the benchmarks outlined in the RTS are sufficiently proportionate and flexible? Do you have any alternative benchmark proposals? If yes, please provide details.
See attached responseQ3. What limitations do you see in relation to the use of the proposed benchmarks, i.e., (i) first and the fourth quartiles; (ii) comparison between own funds under the internal models and the standardised approach; and (iii) comparison between estimates and outturns?
See attached responseQ4. What in your view is the most appropriate benchmark and/or approach for the assessment of the level of potential underestimation of own funds requirements?
See attached responseQ5. Which set of market risk portfolios do you consider more appropriate for the initial exercise conducted under Article 78?
See attached responseQ6. As explained in the background section, do you consider the approach proposed by the EBA appropriate for future annual exercises?
See attached responseQ7. Do you have any alternative proposals? If yes, please provide details.
See attached responseQ8. Which of the two options for phasing-in do you consider preferable?
See attached responseQ9. Do you see any potential ambiguities in the credit risk portfolios defined in Annex I? Please identify the relevant portfolio providing details and any suggestions that would eliminate these ambiguities.
See attached responseQ10. Do you have any suggestions for additional credit risk portfolios? Please provide details.
See attached responseQ11. Do you see any potential ambiguities in the market risk portfolios defined in Annexes VII.a and VII.b? Please identify the relevant portfolio providing details and any suggestions that would eliminate these.
See attached responseQ12. Do you have any suggestions for additional market risk portfolios? Please provide details.
See attached responseQ13 Do you agree with the possibility of allowing firms to refrain from reporting portfolios if one of the conditions stated in Article 3 is met?
See attached responseQ14 Do you have any suggestion about additional exemptions from reporting? If yes, please provide details.
See attached responseUpload files
BBA response to EBA_CP_benchmarking.pdf
(729.22 KB)