EBA publishes final draft technical standards on the definition of materiality thresholds for specific risk in the trading book

The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) on the definition of materiality thresholds for specific risk in the trading book. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).

In particular, these RTS set out criteria for assessing when the specific risk of debt instruments in the trading book – both at a solo and consolidated level -  is ‘material' enough to trigger an evaluation by the competent authority. After this evaluation, competent authorities will be able to determine whether they shall encourage banks to enhance their internal assessment capacity and increase the use of internal models for capital calculations. 

Legal basis and next steps

The EBA has developed these final draft RTS in accordance with Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (colloquially known as Capital Requirements Regulation or CRR).

The final draft standards have been sent today to the European Commission for their adoption as EU Regulations that will be directly applicable throughout the EU.