The EACB welcomes the opportunity to comment on the EC’s Consultation on the application of the market risk prudential framework.
The transition to the FRTB framework causes a notable increase in risk-weighted assets (RWAs), primarily due to the higher risk weights embedded in the new standard compared to the old approach. This raises concerns about potential competitive disadvantages for EU banks, particularly given differing implementation timelines across jurisdictions. In this context, we advocate recalibrating the FRTB risk weights to align more closely with the implicit weights of the previous standard. Such an approach would ensure consistency in RWA measurements across institutions and avoid the complications associated with bank-specific multipliers.
In our answer to the consultation, we have emphasised the need for a balanced and equitable implementation of the FRTB that maintains a level playing field for all market participants while taking into account practical implementation issues, EU-wide integration considerations, and finally sustaining the financial system's overall resilience.