EBA publishes final draft technical standards on market risk
The European Banking Authority (EBA) published today final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) related to market risk. In particular, the EBA published (i) RTS on the definition of materiality thresholds for specific risk in the trading book; (ii) ITS on closely correlated currencies; (iii) RTS on non-delta risk of options in the standardised market risk approach; and (iv) ITS on appropriately diversified indices. The standards will be part of the Single Rulebook aimed at enhancing regulatory harmonisation in the banking sector in the European Union (EU).