EBA欧洲银行-EBA-RTS-2013-14-28Materiality-Threshold29_21页_1012kb

EBA FINAL Draft Regulatory Technical Standards Summary

Core Content

The European Banking Authority (EBA) has issued a FINAL draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book under Article 77 of Directive 2013/36/EU (CRD IV). These standards aim to support competent authorities in identifying when banks should be encouraged to develop internal models for capital calculations related to specific risk in the trading book.

Main Points

1. Scope of Application

• The RTS apply only to debt instruments in the trading book (TB).
• Equity instruments in the TB are excluded from the materiality assessment.
• The standardised approach is the focus, as internal models are already used by other institutions.

2. Material Exposure in Absolute Terms

• A bank's exposure to specific risk of debt instruments is considered material in absolute terms if the sum of all net long and net short positions exceeds EUR 1,000,000,000.
• This threshold is based on net positions, as defined in Article 327 of Regulation (EU) 575/2013 (CRR).
• The EBA has used data from National Supervisory Authorities (NSAs) to calibrate this threshold.

3. Large Number of Material Positions

• A large number of material positions in debt instruments of different issuers is defined as more than 100 positions, each greater than EUR 2,500,000 in absolute terms.
• This applies to both net long and net short positions.
• The EBA has used quantitative analysis and sample data from banks to define this criterion.

4. Joint Consideration of Both Criteria

• Under Article 77(3) of CRD IV, competent authorities should assess whether to encourage internal models if both criteria are met:
  • The exposure is material in absolute terms.
  • The institution has a large number of material positions.
• The EBA emphasizes that both criteria must be met simultaneously for the application of internal models.
• The standards aim to act as a screening test to avoid unnecessary internal model usage for smaller portfolios.

5. Regulatory Objectives

• The RTS aim to promote internal risk assessment and reduce reliance on external credit ratings.
• This is intended to enhance financial stability and market confidence.
• Internal models are expected to lead to more accurate capital requirements that reflect the institution’s idiosyncratic risk profile.

Key Information

• The EBA has not imposed an obligation to use internal models, but rather established criteria for when such models should be considered.
• The thresholds are designed to ensure that only significant trading book portfolios are subject to internal model evaluation.
• The impact assessment indicates that the proposed thresholds would apply to 17 out of 41 institutions in the sample, covering 94% of the specific risk exposure in the sample.
• The feedback from the public consultation and the Banking Stakeholder Group (BSG) did not lead to any changes in the proposed RTS.

Structure of the RTS

Article 1

• Defines material exposure in absolute terms as net long and net short positions exceeding EUR 1,000,000,000.

Article 2

• Defines large number of material positions as more than 100 positions, each greater than EUR 2,500,000.

Article 3

• States that the RTS will enter into force on the 20th day following publication in the Official Journal of the EU.
• It is binding and directly applicable across all EU Member States.

Conclusion

The EBA draft RTS provide clear and measurable thresholds for when banks should be encouraged to use internal models for specific risk in the trading book. These thresholds are based on net positions and quantitative analysis of bank data. The standards aim to balance regulatory requirements with practical implementation, ensuring that only significant portfolios are subject to internal model development, while avoiding unnecessary burdens on smaller institutions.