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Article 350
Specific methods for CIUsPublic hearing on draft RTS on the treatment of non-trading book positions subject to foreign-exchange or commodity risk under the new FRTB framework
EBA releases its annual assessment of the consistency of internal model outcomes
The European Banking Authority (EBA) published today two Reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. The reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm that the majority of risk-weights (RWs) variability can be explained by fundamentals. These benchmarking exercises are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.
EBA Report-Results from the 2019 Market Risk Benchmarking Exercise.pdf
EBA Report results from the 2019 Market Risk Benchmarking Report
Consultation paper on draft Guidelines on the treatment of structural FX under 352(2) of the CRR
EBA launches a consultation on draft RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk under the FRTB framework
Regulatory Technical Standards on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk
EBA-2019-Op-15 - Policy Advice on the Basel III reforms on credit valuation adjustment (CVA) and market risk.pdf
Policy advice on the Basel III reforms: credit valuation adjustment and market risk
EBA launches consultation on guidelines on the application of the structural FX provision
The European Banking Authority (EBA) launched today a consultation on draft Guidelines on the application of the Structural FX provision. These Guidelines aim at setting a regulatory framework on Structural FX to address the observed diversity in its application across the EU. In particular, the guidelines identify criteria to assist Competent Authorities in their assessment of the structural nature of a foreign-exchange position and whether such position has been deliberately taken for hedging the capital ratio. The consultation runs until 17 January 2020.
Guidelines on the treatment of structural FX under Article 352(2) of the CRR
Policy Advice on Basel III reforms - SFTs.pdf
Policy Advice on Basel III reforms - SFTs