We agree with the intention to inform any final revision of the calibration with the results of a quantitative impact assessment. We believe that, on the basis of the results of the impact assessment, a successive consultation should be envisaged before finalizing the review.
Looking at some of the specific policy proposals we recommend the following:
Instead of opting for an ever-increasing time series, we would suggest adopting a constant rolling time window of 20 years.
A time window of six months for the simulation of an adverse interest rate structure acting overnight would be far too long and unsuitable in practice for a pure interest rate risk simulation: we suggest limiting this to 3 months.
We strongly advise against an increase in the confidence level from 99% to 99.9%. This results in extreme scenarios that are not suitable for adequately assessing the interest rate risks in the banking book on an ongoing basis.