欧盟Eurlex法规详细信息

(1)

A general methodology for mapping a risk factor of a position to a broad risk factor category for the purposes of Article 325bd(1) of Regulation (EU) No 575/2013 should enable institutions to identify broad risk factor categories and broad risk factor sub-categories corresponding to the risks embedded in the risk factor in order to determine its appropriate liquidity horizon. The general methodology should be sufficiently generic to be applicable for most risk factors.

(2)

Given the particularities of certain risk factors, including those not falling under any broad risk factor category of Table 2 of Article 325bd of Regulation (EU) No 575/2013, the general methodology could lead to different outcomes across institutions where applied to those risk factors, leading to a lack of harmonisation and potential regulatory arbitrage. As a result, it is necessary to complement the general methodology with specific rules.

(3)

A high volume of daily average turnover of net Over The Counter (OTC) interest rate derivatives represents a good indicator of the liquid nature of their respective underlying currencies. It is therefore appropriate to consider that turnover indicator for specifying which currencies should constitute the most liquid currencies sub-category of the broad category of interest rate risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013. The Bank for International Settlements (BIS) Triennial Central Bank Survey of OTC interest rate derivatives turnover (2) constitutes a reliable source of statistics to evaluate the OTC interest rate derivatives turnover by instrument and by currency. For that reason, and in order to ensure consistency with international practices, it is appropriate to consider the results of that survey for the purposes of specifying the currencies constituting the most liquid currencies sub-category.

(4)

Similarly, a high volume of daily average turnover of net OTC foreign exchange derivatives represents a good indicator of the liquid nature of their respective underlying currency pairs. It is therefore appropriate to consider that indicator for specifying which currency pairs should constitute the most liquid currency pairs sub-category of the broad category of foreign exchange risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013. The BIS Triennial Central Bank Survey of OTC foreign-exchange derivatives turnover (3) constitutes a reliable source of statistics to evaluate the OTC foreign exchange derivatives turnover by instrument and by currency. For that reason, and in order to ensure consistency with international practices, it is appropriate to consider the results of that survey for the purpose of specifying the currency pairs constituting the most liquid currency pairs sub-category.

(5)

Given the diversity of equity markets in the Union, it is necessary to define small and large market capitalisation for the purposes of the equity price and volatility sub-category of the broad category of equity risk factor of Table 2 of Article 325bd of Regulation (EU) No 575/2013 on the basis of a combination of an absolute threshold and a relative one. Given the need for consistency with international regulatory standards, it is appropriate to base the absolute threshold on the threshold established by the Basel Committee for Banking Supervision (4). Given that Commission Implementing Regulation (EU) 2016/1646 (5) provides a list of main indices based on the liquidity of the components of the indices, and given that the methodology for the establishment of that list is based on market capitalisation and free float, and on the condition of a minimum liquidity threshold, it is appropriate to establish the relative threshold in accordance with that Implementing Regulation. The equities in the main indices listed in Implementing Regulation (EU) 2016/1646 the components of which are all quoted in the Union, should therefore be considered as equities with large market capitalisation, while all other equities should be considered as equities with small market capitalisation.

(6)

This Regulation is based on the draft regulatory technical standards submitted to the Commission by the European Banking Authority.

(7)

The European Banking Authority has conducted open public consultations on the draft regulatory technical standards on which this Regulation is based, analysed the potential related costs and benefits, and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (6),