The European Banking Authority (EBA) has published a document setting out final draft regulatory technical standards (RTS) on the determination of the overall exposure to a client, or a group of connected clients, in respect of transactions with underlying assets under the Capital Requirements Regulation.
In particular, the draft RTS set out the:
- methodology for the calculation of the value of exposures to transactions with underlying assets;
- procedure used to determine the contribution of underlying exposures to overall exposures to clients and groups of connected clients; and
- conditions under which the structure of the transaction does not constitute an additional exposure.
An accompanying press release states that the EBA has submitted the final draft RTS to the European Commission for adoption in the form of an EU Regulation.
View EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for credit and operational risk, 5 December 2013
