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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
EBA consults on standards for supervisors assessing the new market risk internal models under the Fundamental Review of the Trading Book
The European Banking Authority (EBA) launched today a public consultation on its 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 for the new market and counterparty credit risk approaches. The consultation runs until 26 June 2023.
Consultation paper on draft RTS on assessment methodology.pdf
Consultation Paper on draft RTS on the assessment methodology under which competent authorities verify an institution’s compliance with the internal model approach
Regulatory Technical Standards on the assessment methodology to verify an institution’s compliance with the internal model approach
EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements
The European Banking Authority (EBA) published today its Reports on the annual market and credit risk benchmarking exercises conducted in 2022. 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 rather stable, despite the pandemic and the different banks’ pace in complying with the policies set out in the EBA internal rating-based (IRB) roadmap. A particular focus has been put on analysing the impact of the pandemic and the compensating public measures on the IRB models.
EBA Report results from the 2022 Market Risk Benchmarking Exercise.pdf
Report results from the 2022 market risk benchmarking exercise
EBA publishes a no-action letter on the boundary between the banking book and the trading book provisions
The European Banking Authority (EBA) today published a no-action letter stating that competent authorities should not prioritise any supervisory or enforcement action in relation to the new banking book – trading book boundary provisions.
(EBA-OP-2023-02 ) Opinion on the application of the new boundary provisions.pdf
Opinion on the application of the provisions relating to the boundary between trading book and banking book
EBA updates list of diversified indices
The European Banking Authority (EBA) updated today the list of diversified indices, originally published in 2013 and previously updated in 2019. The list is part of the implementing technical standards (ITS) drafted to calculate the capital requirements for position risk in equities according to the standardised rules. The list has been updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.
ANNEX ITS on diversified indices 2022.pdf
Annex on diversified indices
Updated ITS on diversified indices 2022.pdf
Updated ITS on diversified indices
Final Report on draft RTS on PD and LGD under the internal default risk model.pdf
Final Report on draft RTS on PD and LGD under the internal default risk model
EBA publishes final draft technical standards on default probabilities and loss given default for default risk model under the internal approach for market risk
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on probabilities of default (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These final draft RTS specify the requirements for estimating PDs and LGDs using an institution's internal methodology or external sources. These draft RTS are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches.