Stellungnahme DK zum EBA Consultation Paper “On revision of the ‘Guidelines on Technical aspects of the management of interest rate risk arising from non trading activities in the context of the supervisory review process’ from 3 October 2006, under
In general we support the guidance provided to the banking community in order to promote consistency and harmonization to calculating the standard supervisory shock. The changes to the original guidelines will promote supervisory convergence, as they aim towards a homogeneous and transparent calculation of the standard supervisory shock across the banking industry. But we see difficulties in limiting specific modelling approaches as markets and products in the countries differ and there may be statistical back-ground for the given approaches.
On a more positive note, it is worth highlighting that the application of the guidelines shall generally be geared towards the principle of proportionality, i.e. it shall depend on the nature, scope and complexity of transactions conducted by banks (IRRBB 1). However, we are not under the impression that the Consultation Paper consistently takes a principles-based approach. For instance, in the list enumerating the various quantitative tools and models that are used (Indent 3.6 / Table 3), the expectation is expressed that banks shall select from this matrix an “appropriate combination of measures together with an appropriate sophistication level per instrument”. In our view, this approach restricts the free choice of methods stipulated in the guidelines. We see the list of tools and models as non-exhaustive examples and it is our understanding that there is no expectation to apply them universally in practice. Depending on the business model and risk profile of individual banks and groups of banks, there are further approaches which are not covered in the guidelines. […]