EBA欧洲银行-28EBA-2016-E-6622920Ares282016291819771-CfA-CRR-Own-Fund-Requirement_6页_290kb

EBA Call for Advice on Revising Market Risk Own Fund Requirements under CRR Review

Core Content

The European Commission is conducting a review of the Capital Requirements Regulation (CRR) and is considering the implementation of the Basel Committee on Banking Supervision (BCBS) framework for market risk. As part of this process, the Commission is seeking technical advice from the European Banking Authority (EBA) to evaluate the impact of adopting the BCBS framework on EU banks, with a focus on quantitative analysis. The EBA is also asked to assess whether adjustments to the BCBS framework, particularly in calibration and treatment of small trading books, may be necessary.

Main Points

The EBA is tasked with analyzing five key elements of the revised market risk framework:

1. FRTB and Derogation for Small Trading Books

• Provide an overview of EU trading instruments and current market risk capital requirements.
• Analyze the size and composition of market risk activities across jurisdictions and business models.
• Assess the adequacy and potential adjustments to the threshold for small trading book derogation under Article 94 CRR.
• Evaluate the materiality of trading book risks and the feasibility of applying a simplified standardised approach.
• Characterize the types of institutions and trading instruments typically subject to the derogation.
• Estimate the capital impact of applying the derogation versus standard market risk requirements.

2. Impact of the New Framework

• Estimate the overall capital impact of introducing the Fundamental Review of the Trading Book (FRTB) framework on EU institutions.
• Compare the capital impact across different risk categories.
• Assess the effect of the framework on market making activities and market liquidity.
• Evaluate the current ratio of standardised to internal models capital requirements and determine if calibration adjustments are needed.

3. Impact of the New Standardised Approach

• Analyze the operational and capital impact on EU banks currently using the standardised approach.
• Estimate the feasibility and costs of adapting to the new standardised approach, especially in terms of sensitivity calculations and aggregation methodologies.
• Compare the Risk-Weighted Assets (RWAs) under the new standardised approach with the current CRR treatment.

4. STS Securitisations

• Evaluate the need for adjustments in the general FRTB securitisations capital charges for Special Purpose Vehicles (SPVs) under the Securitisation Transaction Standard (STS).
• Provide specific proposals for adapting the capital charges to STS securitisations.

5. Interpretational Issues

• Identify and discuss any interpretation challenges related to the revised market risk framework.
• Highlight potential inconsistencies or ambiguities in the BCBS framework and suggest ways to clarify them.

Key Information

• Scope: The EBA must consider the impact of the FRTB framework on EU banks, including both credit institutions and relevant investment firms.
• Proportionality Principle: The EBA should assess the current threshold for small trading book derogation and explore alternative definitions and levels.
• Data Requirements: Annex 1 outlines specific data needed for the analysis, including trading assets, risk-weighted exposures, and breakdowns by business models and member states.
• Deadlines:
  • June 1, 2016: Analysis of item 1 and preliminary capital impact analysis for item 2.
  • October 1, 2016: Final report including a more developed analysis of item 2.

Additional Considerations

• The EBA should not prejudice the Commission's final decision and should highlight any limitations in data or analysis methodologies.
• The Commission will continue to consult national experts in the preparation of its report.
• The EBA is encouraged to discuss findings with the EU banking industry, though public consultation is not expected due to the short timeframe.

Structure of the Report

The report should be structured to address the five elements outlined above, with a clear focus on quantitative assessments and an evaluation of the proportionality principle. It should also include a section on interpretational issues and any other relevant concerns identified by EU competent authorities.