EBA recommendations on implementing the new CRR and MKR frameworks

The European Banking Authority (EBA) published today a Report in response to two calls for advice to assist the European Commission in the adoption into European legislation of two new international frameworks proposed by the Basel Committee on Banking Supervision (BCBS) a new standardised framework for counterparty risk (CCR), and (ii) a new market risk (MKR) framework.

In the Report, the EBA focuses on the envisaged impact of these two frameworks, for both large and small firms, and issues recommendations on their implementation.

Based on its assessment, the EBA is including in the Report some recommendations, which are addressed to the European Commission:

  • Increasing the threshold value for small trading book business below which institutions are able to use the non-trading book approach for the computation of capital requirements.
  • Introducing a threshold for small derivative businesses below which institutions are allowed to use simple approaches currently used for the computation of CCR capital requirements, subject to recalibration.
  • Including more granularity in COREP reporting to provide a better overview of institutions' CCR exposures and the information needed to monitor the computation of the different proportionality thresholds included in legislation.

Source: EBA