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CP Module 5 - MKR, PruVal, CCR, CVA
The EBA updates list of correlated currencies
The European Banking Authority (EBA) published today the 2026 update of the list of closely correlated currencies, which is used for the calculation of capital requirements for foreign exchange risk under the standardised approach. The update has been carried out in line with the methodology and procedure set out in the applicable Implementing Technical Standards (ITS). The revised list has been submitted to the European Commission for endorsement.
Final report on draft RTS on IRB material model changes
EBA final report on draft Regulatory Technical Standards (RTS) amending Delegated Regulation (EU) 529/2014 to refine criteria for assessing materiality of Internal Ratings Based (IRB) model changes under CRR3, including qualitative and quantitative thresholds, notification requirements, and supervisory efficiency improvements.
Regulatory Technical Standards on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk
The EBA responds to the European Commission’s Delegated Act postponing the application of the market risk framework in the EU
Following the European Commission’s adoption of a Delegated Act postponing the application of the revised market risk framework in the EU, the so-called Fundamental Review of the Trading Book (FRTB), the European Banking Authority (EBA) today publishes a no-action letter on the boundary between the banking book and the trading book and shares its considerations on technical questions and issues arising from the postponement.