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: Under development

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