EBA final draft regulatory technical standards (RTS) under CRR2 outlining methodologies for calculating the stress scenario risk measure for non-modellable risk factors, including direct and stepwise methods, stress period identification, and a regulatory fallback scenario to ensure consistent market risk capital requirements.
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on the capitalisation of non-modellable risk factors (NMRFs) for institutions using the FRTB Internal Model Approach (IMA) implemented in EU as a reporting requirement. These draft RTS are a key deliverables in the EBA’s work on implementing the FRTB in EU and part of its roadmap for the new market and counterparty credit risk approaches published on 27 June 2019.
RTS on the treatment of non-trading book positions subject to foreign exchange risk or commodity risk
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) on how institutions are to calculate the own funds requirements for foreign-exchange and commodity risk stemming from banking book positions under the FRTB standardised and internal model approaches.