Response to consultation on draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book

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Do you agree with the proposed values for: (i) overall specific risk and (ii) significant number of (iii) material exposures? If you believe the values are inappropriate, please provide some rationale and alternative values.

Under Article 77 of the CRD IV, the conditions are tied to the absolute position and the presence of a large number of material counterparties. These two conditions are linked by the word “and” meaning that the scenario will only be subsumed under the regulatory scope if both conditions are met. Yet, in its Consultation Paper the EBA ignores this and proposes an “or” link (cf. Section 3, page 7 “Joint con-sideration of both criteria”). Hence, under the proposals of the Consultation Paper, the regulatory re-quirement will already be triggered if only one of the two requirements is met. In our view, this ex-tension of the regulatory scope is not covered by the EBA’s legal mandate.

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Name of organisation

German Banking Industrie Committee