EBA欧洲银行-BSG-response-to-EBA-DP-on-the-EU-implementation-of-MKR-and-CCR-revised-standards-28EBA-DP-2017-0429_15-Mar-2018_2页_193kb

EBA Banking Stakeholder Group Comments on the Discussion Paper: Implementation of Revised Market Risk and Counterparty Credit Risk Frameworks

Core Content

The EBA Banking Stakeholder Group (BSG) has provided feedback on the EBA Discussion Paper (EBA DP 2017 04) regarding the implementation of the revised Market Risk and Counterparty Credit Risk frameworks within the European Union. The comments aim to highlight key considerations and suggest improvements to ensure consistency, clarity, and practicality in the application of these frameworks.

Main Views and Key Points

1. FX Risk and Capital Structure

• Coverage of FX Risk: The BSG acknowledges that non-TB (trading book) positions subject to FX risk have already been addressed in EBA/DP/2017/01, which dealt with the treatment of structural FX under Article 352(2) of Regulation (EU) No 575/2017.
• Need for Transversal Assessment: They emphasize the importance of a transversal assessment of FX structural positions, especially for entities with a significant number of subsidiaries in third countries. These subsidiaries may have different reporting currencies from the parent company, which can lead to FX risk when translating capital balances into the parent's reporting currency.
• Impact on Capital Ratios: FX positions in subsidiaries, even if accounted at historic cost, can have a material impact on capital ratios due to gains and losses resulting from FX movements.

2. Resolution Strategy and Risk Weighted Assets

• Multiple Point of Entry Strategy: The BSG notes that when an entity adopts a multiple point of entry resolution strategy, it is not allowed to consolidate risk weighted assets as a single portfolio. Instead, they must be calculated at the individual level.
• Equity Valuation Discrepancy: In such cases, the equity of subsidiaries is accounted at historic cost, while FX positions at the consolidated level are marked to market. This discrepancy could lead to inconsistencies in risk assessment and capital calculation.

3. Standardised Approach Calibration

• Recalibration of Standardised Approach: The BSG recommends a recalibrated version of the current standardised approach to align with the conclusions of the Basel Committee's consultative document BCBS 408.
• Applicability of Simplified Approach: They suggest that the simplified standardised approach (Reduced Sensitivities-based Method) should apply to both banks with small trading books and subsidiaries of larger banks, including G-SIB (Global Systemically Important Banks) and D-SIB (Domestic Systemically Important Banks), provided these subsidiaries meet the criteria for standalone market risk own funds requirements.

4. Supervisory Delta and Negative Interest Rates

• Supervisory Delta Calculation: The BSG supports the objective of addressing the issue of negative interest rates in the calculation of supervisory delta.
• Consistency of λ Parameters: They raise concerns about the potential inconsistency of λ parameters used in the calculation of supervisory deltas, particularly if the same parameter is applied to all interest rate options in the same currency. This may not reflect actual market conditions.
• Clarification Request: The BSG requests clarification on the meaning of "market convention for the λ parameter" mentioned in the second option of §91.

Conclusion

The BSG's comments highlight the need for a more comprehensive and consistent approach to FX risk, the recalibration of the standardised method, and the clarification of parameters used in the supervisory delta calculation. These recommendations aim to enhance the accuracy and reliability of risk assessments and capital calculations under the revised frameworks.