On 14 December 2023, the European Banking Authority (EBA) issued two consultation papers which contain amendments to the regulatory technical standards (RTS) on the fundamental review of the trading book (FRTB) and on the standardised approach for counterparty credit risk (SA-CCR).
The proposed amendments are part of the roadmap on the EU Banking Package and aim to align the existing RTS with the Capital Requirements Regulation 3 (CRR 3).
The draft RTS on the FRTB have been developed according to Article 325(9), 325be(3) and 325bg(4) of the CRR, as amended by the CRR 3, which mandates the EBA to specify:
- How institutions are to calculate the own funds requirements for market risk for non-trading book positions that are subject to foreign-exchange risk or commodity risk.
- How institutions are to assess the risk factors’ modellability.
- Technical details relating to the profit and loss attribution tests.
The draft RTS on SA-CCR have been developed according to Article 277(5) and 279a(3) of the CRR, as amended by the CRR 3, which mandates the EBA to specify:
- The method for identifying transactions with only one material risk driver.
- The method for identifying transactions with more than one material risk driver and for identifying the most material of those risk drivers.
- The formulas to calculate the supervisory delta of call and put options mapped to the interest rate or commodity risk categories compatible with negative interest rates or commodity prices, and the supervisory volatility suitable for those formulas.
- The method for determining whether a transaction is a long or short position in the primary risk driver or in the most material risk driver in the given risk category.
The deadline for comments on both consultation papers is 14 March 2024.
A public hearing will take place via online meeting on 21 February 2024 from 16:00 to 17:00 CET.