On 17 December 2019, the European Commission (Commission) adopted a Delegated Regulation with regard to the alternative standardised approach (ASA) for market risk under the Capital Requirements Regulation (CRR).
The Delegated Regulation amends provisions in the CRR to reflect the revised version of the Basel Committee on Banking Supervision’s ‘Minimum capital requirements for market risk’, published in January 2019, which address the weaknesses in the prudential treatment of banks’ trading book activities. In particular, amendments are made in relation to the sensitivities-based method, which forms part of the ASA, to introduce technical specifications that align with the revised Basel standards. The Commission states that these amendments are necessary to ensure that the ASA reporting requirements that apply to all institutions with large and medium-sized trading activities will be operational.
The Council of the EU and the European Parliament will now consider the Delegated Regulation, if there are no objections by either party it will be published in the Official Journal of the EU (OJ). The Delegated Regulation will then enter on the twentieth day after publication in the OJ and will apply 6 months from that date.