The European Banking Authority (EBA) has published the following final draft regulatory technical standards (RTS) and implementing technical standards (ITS) relating to market risk:

  • final draft RTS on non-delta risk of options in the standardised market risk approach under articles 329(3), 352(6) and 358(4) of the Capital Requirements Regulation (CRR). These RTS specify the treatment of non-delta risks of options and warrants in the calculation of own funds requirements for market risk under the standardised approach;
  • final draft ITS on closely correlated currencies under article 354(3) of the CRR. These ITS identify a list of closely correlated currencies for the purposes of calculating the capital requirements for foreign-exchange risk according to the standardised rules;
  • final draft ITS on appropriately diversified indices under article 344(1) of the CRR. These ITS specify relevant appropriately diversified indices for the purposes of calculating the capital requirements for equity risk according to the standardised rules; and
  • final draft RTS on the definition of materiality thresholds for specific risk in the trading book under article 77 of the Capital Requirements Directive IV. The draft RTS establish criteria for assessing when the specific risk of debt instruments in the trading book (considered both at a solo and a consolidated level) is sufficiently material to trigger an evaluation by a Member State regulatory authority.

The final RTS and ITS have now been submitted to the European Commission for adoption.

View EBA final draft regulatory technical standards on non-delta risk of options in the standardised market risk approach under articles 329(3), 352(6) and 358(4) of Regulation (EU) No 575/2013 (Capital Requirements Regulation-CRR), 17 December 2013

View EBA final draft implementing technical standards on closely correlated currencies under article 354(3) of Regulation (EU) No 575/2013 (Capital Requirements Regulation-CRR), 17 December 2013

View EBA publishes final draft technical standards on market risk, 17 December 2013

View EBA final draft implementing technical standards on appropriately diversified indices under article 344(1) of Regulation (EU) No 575/2013 (Capital Requirements Regulation-CRR), 17 December 2013

View EBA final draft regulatory technical standards on the definition of materiality thresholds for specific risk in the trading book under article 77 of Directive 2013/36/EU (Capital Requirements Directive-CRR IV), 17 December 2013

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