Targeted consultation on proportionality in the future market risk capital requirements and the review of the original exposure method

May 27, 2016

The European Commission (EC) has launched a targeted consultation in order to gather the views of selected stakeholders on:

  • proposed options for implementing the principle of proportionality in the upcoming market risk capital framework. In particular, this includes institutions with small trading books, associations representing these institutions and supervisory authorities. Also, institutions using the standardised approach for counterparty credit risk, as well as relevant associations
  • review the Original Exposure Method (OEM), which is a standardised approach used for the calculation of the exposures values of derivative contracts
  • replacement of the current standardised approaches for counterparty credit risk by the new standardised approach for counterparty credit risk (SA-CCR).

Any queries can be submitted to FISMA-CONSULT-TRADING-BOOK@ec.europa.eu by 24 June 2016.

The full consultation document can be found here.

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