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Public hearing on RTS on the materiality of extensions and changes to the use of FRTB IMA and changes to the subset of the modellable risk factors
Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book
Consultation on Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book
The EBA consults on draft technical standards on market and counterparty credit risk as part of its roadmap for the implementation of the Banking Package in the EU
The European Banking Authority (EBA) today launched for consultation amendments to its Regulatory Technical Standards (RTS) on the fundamental review of the trading book (FRTB), and to its RTS on the standardised approach for counterparty credit risk (SA-CCR). Both RTS are part of the roadmap on the Banking Package and aim to align the existing RTS with the Capital Requirements Regulation (CRR3). The consultation runs until 14 March 2024.
Consultation on Regulatory Technical Standards on the standardised approach for counterparty credit risk
The EBA publishes roadmap on the implementation of the EU Banking Package
The European Banking Authority (EBA) today published its roadmap on the Banking Package, which implements the final Basel III reforms in the EU. The EBA roadmap aims at strengthening the prudential framework as well as ensuring an international level playing field. It also aims at providing clarity to the industry on how it will develop the mandates implementing the legislation, and how it expects to finalise the most significant components ahead of the application date, on 1 January 2025.
Regulatory Technical Standards on the standardised approach for counterparty credit risk
EBA consults on standards for assessing the materiality of extensions and changes to the new market risk internal models under the Fundamental Review of the Trading Book
The European Banking Authority (EBA) today launched a public consultation on its draft Regulatory Technical Standards (RTS) on the conditions for assessing the materiality of extensions and changes to the use of internal models as well as to the subset of the modellable risk factors applicable under the Fundamental Review of the Trading Book (FRTB) rules. These RTS are part of the Phase 4 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches. The consultation runs until 29 February 2023.
Regulatory Technical Standards on the materiality of extensions and changes to the use of FRTB IMA and changes to the subset of modellable risk factors
Consultation on draft RTS on the materiality of extensions and changes to the use of FRTB IMA and changes to the subset of MRF
The EBA publishes final standards for Supervisors assessing new market risk internal models
The European Banking Authority (EBA) today published its final draft Regulatory Technical Standards (RTS) on the assessment methodology under which competent authorities verify institutions’ compliance with the requirements applicable to their internal models under the Fundamental Review of the Trading Book (FRTB) rules. These RTS are part of the phase 4 deliverables of the EBA roadmap on market risk and counterparty credit risk approaches. Today’s final draft RTS represent a significant milestone in the implementation of the FRTB internal models in the EU.
Consultation on draft RTS on extraordinary circumstances for continuing the use of an internal model
The EBA consults on technical standards to identify extraordinary circumstances to derogate from certain requirements in the area of market risk
The European Banking Authority (EBA) today launched a public consultation on draft Regulatory Technical Standards (RTS) to identify extraordinary circumstances of market disruption, permitting to waive certain requirements for the calculation of own funds requirements for market risk on the basis of internal models. The consultation runs until 3 November 2023.
Regulatory Technical Standards on extraordinary circumstances for continuing the use of an internal model
Consultation paper on draft RTS on Extraordinary Circumstances.pdf
Consultation paper on draft RTS on extraordinary circumstances for continuing the use of an internal model
Consultation on draft RTS on the assessment methodology under which competent authorities verify an institution’s compliance with the internal model approach
EBA updates list of correlated currencies
The European Banking Authority (EBA) published today the 2023 update of the list of closely correlated currencies, originally published in December 2013. The list is part of the implementing technical standards (ITS) that were drafted for calculating the capital requirements for foreign-exchange risk according to the standardised rules. The list was updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
EBA publishes results on impact and calibration of standardised approaches for counterparty risk
The European Banking Authority (EBA) today published its Report on the impact and calibration of the Standardised Approach to Counterparty Credit Risk (SA-CCR), simplified SA-CCR and Original Exposure Method (OEM). The impact of setting alpha equal to 1 under SA-CCR for the purposes of the output floor (OF) on a permanent basis is also analysed.
EBA Report on standardised approaches under counterparty credit risk.pdf
Report on standardised approaches under counterparty credit risk