Response to consultation Paper on draft RTS and ITS on benchmarking portfolios

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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.

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Q3. 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?

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Q4. 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?

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Q5. Which set of market risk portfolios do you consider more appropriate for the initial exercise conducted under Article 78?

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Q6. As explained in the background section, do you consider the approach proposed by the EBA appropriate for future annual exercises?

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Q7. Do you have any alternative proposals? If yes, please provide details.

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Q8. Which of the two options for phasing-in do you consider preferable?

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Q9. 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.

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Q10. Do you have any suggestions for additional credit risk portfolios? Please provide details.

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Q11. 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.

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Q12. Do you have any suggestions for additional market risk portfolios? Please provide details.

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Q13 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?

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Q14 Do you have any suggestion about additional exemptions from reporting? If yes, please provide details.

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Name of organisation

EBA Banking Stakeholder Group