Page 18 - 2013.2802_Web1

Version HTML de base

Another priority was the work on the new
requirements in the area of credit and mar-
ket risk where significant adjustments were
deemed necessary to ensure a better valu-
ation of the exposures and of their related
risks. In May 2012, the EBA issued guidelines
including provisions on stressed value-at-risk
(VaR) modelling by credit institutions using
the internal model approach for the calcula-
tion of the required capital for market risk in
the trading book. The main provisions of the
guidelines related to the identification and the
review of the stressed period, the stressed VaR
methodology and the use test. In addition, the
EBA published guidelines on the incremental
risk charge aimed at complementing the ad-
ditional standards being applied to the VaR
modelling framework in the trading book on
the incremental default and migration risk
charge (IRC). In July 2012, the EBA issued
consultation papers to prepare for its man-
dates on regulatory technical standards (RTS)
on credit risk adjustments and credit valuation
adjustments. The consultations lasted around
10 weeks and were commented by a number
of stakeholders. Again, the EBA reflected upon
the comments and will finalise the regulatory
standards once the final CRR text is adopted.
Some other regulatory areas deserved some
preliminary work given their novelty. To this
end, the EBA produced a number of discus-
sion papers, among which one on prudent
valuation. The correct pricing of the assets is
a prerequisite for correctly managing risks.
The financial crisis revealed that pricing of fair
value positions was not always done in a suf-
ficiently prudent manner. The EBA has been
given the mandate in Article 100 of the draft
CRR to develop RTS to harmonise practices of
prudent valuation where the intended effect
of these adjustments is to set valuations at a
level that achieves an appropriate degree of
certainty that the valuation used for regulatory
purposes is not higher than the true realisable
value. With this aim in mind, the discussion
paper considered the possibility of defining
what the appropriate degree of certainty or
level of confidence is that the requirements
wish to achieve in the adjusted valuation. The
EBA continued its work on this and launched
a public consultation in July 2012 with the aim
of finalising the draft RTS by the end of 2013.
With the entry into force of the European mar-
ket infrastructure regulation (EMIR) on 16 Au-
gust 2012, several provisions required a num-
ber of technical standards to be developed by
the EBA along with ESMA and EIOPA. Among
the EBA’s key deliverables in 2012, the draft
technical standards on prudential require-
ments for central counterparties (CCPs) were
developed in close collaboration with ESMA
and the ESCB. Prudential requirements are
needed for market, credit and counterparty
credit risks that are not covered by dedicated
financial resources, like reinvestment or expo-
sures to other CCPs. In addition to this, addi-
tional regulatory capital is required to mitigate
operational and business risks that arise from
all its activities. The EBA sought the industry
opinion publishing a consultation paper in
June 2012 and held a public hearing. Taking
also into account the comments of the Bank-
ing Stakeholders Group, the draft technical
standards were amended before the formal
submission to the Commission.
What goes into each instrument?
Access to taking up/pursuit of
Exercise of freedom of
establishment and free movement
of services
Prudential supervision
Capital buffers
Corporate governance
Counterparty credit risk (credit
valuation adjustment — CVA)
Directive (CRD IV)
Regulation (CRR)