EBA欧洲银行-Report-on-SA-CCR-and-FRTB-implementation-28EBA-Op-2016-1929_173页_8mb

Summary of EBA's Response to the European Commission's CFA on SA-CCR and MKR

Core Content

The European Banking Authority (EBA) responded to the European Commission's Call for Advice (CFA) on the implementation of the Standardised Approach for Counterparty Credit Risk (SA-CCR) and the Market Risk (MKR) framework under the Fundamental Review of the Trading Book (FRTB). The report focuses on the impact of these new frameworks, the potential for proportionality, and the need for regulatory flexibility.

Main Views and Recommendations

1. Introduction of Greater Proportionality

• The EBA supports the introduction of greater proportionality in the implementation of new risk frameworks.
• The current SA-CCR and FRTB frameworks are more complex and less suitable for smaller institutions.
• The EBA recommends adjusting the thresholds for small derivative and small trading book (TB) businesses to reflect the actual size of the derivative business rather than the TB as a whole.
• The OEM (Original Exposure Method) is still widely used by small and medium-sized banks, suggesting it should be retained in the framework.
• The MtM (Mark-to-Market) method is the most commonly used approach for CCR in the EU.

2. Threshold for Small Derivative Business

• CCR is less relevant for smaller institutions, with the median ratio of CCR and CVA RWAs to total RWAs being 2.17% for large banks and 0.01% for small banks.
• The EBA proposes removing the requirement for a small TB business to use the OEM and instead introducing a threshold based on the absolute fair value (FV) of derivative positions.
• A proposed threshold of EUR 20 million for the sum of the absolute FV of long and short positions is considered appropriate.
• A relative threshold (e.g., 5% of total assets) is not strictly necessary but could be considered as a complementary measure.

3. Increasing the Threshold for Small TB Business

• The EBA recommends increasing the threshold for small TB business to EUR 50 million, which would ensure that most small banks are eligible for the derogation while limiting the impact on their capital requirements.
• This threshold aligns with the assumption that small institutions primarily engage in banking book (BB) activities.
• The EBA suggests that the current SA should be retained for institutions within this threshold range, provided it is appropriately recalibrated.

4. Impact of the New Frameworks

• The introduction of the SA-CCR is expected to increase exposure values by 27% and RWAs for CCR by 40% for the median bank.
• For banks using both IMM and MtM methods, the impact is less pronounced: 5% increase in exposure value and 7% in RWAs.
• The FRTB is expected to increase capital charges for IMA banks by 7% (median) and 16% on average.
• The new SA framework could lead to an 170% increase in capital requirements for the median bank and 183% increase on average, significantly higher than the impact of the IMA.

5. Operational and Reporting Burdens

• The EBA highlights the operational burden on small and medium-sized institutions due to the complexity of the new frameworks.
• There are concerns about the quality of data collected during the latest QIS exercises, especially for small institutions.
• The EBA recommends expanding COREP reporting templates to include detailed information on how banks map their trading instruments and activities, both from a regulatory and accounting perspective.

6. Calibration and Consistency

• The EBA stresses the importance of proper calibration of the SA-CCR and the need for consistency with the FRTB's Sensitivity-Based Approach (SBA).
• It also suggests that technical parts of the international standards should be implemented via delegated legislation to allow for regulatory fine-tuning during the implementation phase.

Key Information

• EBA Sample: Includes 193 large institutions with detailed data from FINREP/COREP.
• Small Banks Sample: Represents over 1,000 EU banks, as provided by Competent Authorities (CAs).
• Data Limitations: The report relies on existing data due to time and resource constraints, and the data quality is a concern, especially for small banks.
• Impact on Capital: The new SA framework leads to a substantial increase in capital requirements compared to the IMA.
• Proportionality: The EBA advocates for a more proportionate approach, particularly for smaller institutions, by introducing thresholds based on the actual size of derivative and TB activities.

Conclusion

The EBA concludes that while the new SA-CCR and FRTB frameworks introduce significant complexity and capital requirements, there is room for proportionality and regulatory flexibility. It recommends adjusting thresholds for small derivative and TB businesses, improving data quality and reporting, and using delegated legislation to allow for regulatory fine-tuning. These measures aim to ensure that the implementation of the new frameworks is both effective and feasible for all institutions, particularly smaller ones.