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.

Considering the liquidity requirements in the LCR, and more specifically the requirement for a material portfolio of liquid assets, we would suggest increasing the proposed thresholds to avoid capturing these portfolios in small banks with limited trading activity. This is to avoid consequently creating unnecessary operational and financial burden that would be disproportionate to such banks. We propose the following thresholds:
a. Sum of net longs and net short positions should be greater than Euro 10bn rather than Euro 1bn; and
b. Each position greater than Euro 10mn for 200 positions rather than Euro 2.5mn for 100 positions.
Alternatively, the thresholds can be kept as proposed by the EBA but liquid asset buffer securities held in the trading book should be exempted from the measure.

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Name of organisation

AFME Association for Financial Markets in Europe - ISDA International Swaps and Derivatives Association