Regulatory Technical Standards (RTS) on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk (EBA-CP-2020-01)

status: Final draft adopted by the EBA and submitted to the European Commission

These draft Regulatory Technical Standards (RTS) specify how institutions should calculate the own funds requirements for market risk for their non-trading book positions that are subject to foreign-exchange risk or commodity risk under the FRTB standardised and internal model approaches. In particular, they specify the value of non-trading book positions that institutions should use when computing the own funds requirements for market risk for those positions; they lay down a prudential treatment for the calculation of the own funds requirements for market risk of non-monetary items held at historical cost that may be impaired due to changes in the foreign-exchange rate; and they specify an ad-hoc treatment with respect to the calculation of the actual and hypothetical changes associated to non-trading book positions for the purpose of the backtesting and the profit and loss attribution requirements.

Press Release

Consultation Papers