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Consultation on Regulatory Technical Standards on CVA risk of securities financing transactions
The EBA publishes its final draft technical standards on extraordinary circumstances for continuing the use of internal models for market risk
The European Banking Authority (EBA) published its final draft Regulatory Technical Standards (RTS) clarifying the extraordinary circumstances for continuing the use of internal models and disregarding certain overshootings in accordance with the Fundamental Review of the Trading book (FRTB) framework
Draft Regulatory Technical Standards on on extraordinary circumstances
EBA final report on draft Regulatory Technical Standards defining conditions and indicators to identify extraordinary circumstances under CRR Articles 325az(5) and 325bf(6), enabling softened market risk model requirements during financial stress or regime shifts.
Draft amending Regulatory Technical Standards on standardised approach for counterparty credit risk
EBA draft Regulatory Technical Standards amending the Standardised Approach for Counterparty Credit Risk (SA-CCR) under CRR, introducing a supervisory delta formula for commodity options compatible with negative prices and aligning existing rules with CRR3 updates.
The EBA publishes amendments to counterparty credit risk standards as part of its new roadmap for the implementation of the Banking Package in the EU
The European Banking Authority (EBA) today published its final draft amending Regulatory Technical Standards (RTS) on the standardised approach for counterparty credit risk (SA-CCR). This regulatory product is part of the new roadmap on the Banking Package.
The EBA publishes final standards for assessing the materiality of extensions and changes to new market risk internal models
The European Banking Authority (EBA) today published its final draft Regulatory Technical Standards (RTS) on the conditions for assessing the materiality of model extensions and changes, as well as changes to the subset of modellable risk factors, applicable under the Fundamental Review of the Trading Book (FRTB) rules. With the submission of these final draft RTS to the European Commission, the EBA completes its roadmap on market and counterparty credit risk approaches published on 27 June 2019.
Draft RTS on the materiality of extensions and changes to the use of FRTB IMA and changes to the subset of MRF
EBA final draft Regulatory Technical Standards (RTS) under CRR specify conditions for assessing materiality of changes to FRTB Internal Models Approach (IMA) and modellable risk factors, defining approval or notification requirements for banks and competent authorities.
The EBA consults on draft technical standards on the specification of long and short positions under the derogations for market and counterparty risks
The European Banking Authority (EBA) today launched a public consultation on its draft Regulatory Technical Standards (RTS) on the method for identifying the main risk driver and determining whether a transaction represents a long or a short position. These RTS are part of the Phase 1 deliverables of the EBA roadmap on the implementation of the EU banking package in the area of market risk. The consultation runs until 24 July 2024.
Regulatory Technical Standards on the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position
EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements
The European Banking Authority (EBA) today published its 2023 Reports on the annual market and credit risk benchmarking exercises. These exercises aim at monitoring the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. Regarding market risk, for the majority of participating banks, the results confirm a relatively low dispersion in the initial market valuation (IMVs) of most of the instruments, and a decrease in the dispersion in the value at risk (VaR) submissions compared to the previous exercise. For credit risk, the variability of RWAs remained stable compared with the previous year, but for some asset classes a reduction could be observed in a longer perspective.
Presentation - public hearing on amending RTS on FRTB and SA-CCR
European Banking Authority public hearing on proposed amendments to Regulatory Technical Standards (RTS) for the Fundamental Review of the Trading Book (FRTB) and the Standardised Approach for Counterparty Credit Risk (SA-CCR) – covering regulatory updates and stakeholder consultation held in February 2024.
Public hearing on amending RTS on prudent valuation
EBA Report results from the 2023 Market Risk benchmarking exercise
EBA report presenting 2023 market risk benchmarking results, analysing VaR, sVaR, IRC, and SBM metrics across EU banks to assess modelling practices, risk measure variations, and supervisory findings under CRR/CRD frameworks.
The EBA consults on draft technical standards on residual risk add-on hedges under the Fundamental Review of the Trading Book
The EBA consults on draft technical standards on residual risk add-on hedges 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 determining whether an instrument attracting residual risk acts as a hedge. These RTS are part of the Phase 1 deliverables of the EBA roadmap on the implementation of the EU banking package in the area of market risk. The consultation runs until 3 May 2024.
Consultation paper on draft RTS on RRAO exemption
EBA consults on draft Regulatory Technical Standards exempting certain hedges from residual risk add-on own funds requirements under CRR Article 325u(4a), seeking stakeholder feedback by May 2024.
Regulatory Technical Standards on the exemption from the residual risk add-on own funds requirements for certain type of hedges
EBA consults on targeted amendments to the prudent valuation framework
The European Banking Authority (EBA) today published a consultation paper on targeted amendments to the Regulatory Technical Standards (RTS) on prudent valuation, aiming to promote a more harmonised application of the RTS and to reduce the observed variability of additional value adjustments (AVAs) under the core approach, as well as to set the rules for the application of the prudent valuation framework in extraordinary circumstances. The consultation runs until 16 April 2024.