On 27 April 2023, the European Banking Authority (EBA) published an opinion in response to an earlier letter from the European Commission which notified the European Supervisory Authority that it would be adopting, with amendments, the final draft Regulatory Technical Standards (RTS) specifying supervisory shock scenarios, common modelling and parametric assumptions and what constitutes a large decline for the calculation of the economic value of equity and of the net interest outcome in accordance with Article 98(5a) of the Capital Requirements Directive IV.
In its opinion the EBA sets out both general and specific comments on the changes proposed by the Commission. This includes that the EBA considers the proposed changes to be of a substantive nature, covering the notion of a large decline to Article 6 of the draft RTS submitted. The EBA also considers that these amendments alter the draft technical standards in a significant manner from a technical perspective. Furthermore, the EBA has concerns that the proposed changes would create an undue burden to Member State competent authorities.
In response to the Commission’s proposed amendments the opinion contains an annex in which the EBA has revised the substantive amendments to Recital 4 and Article 6 of the draft RTS it submitted.
Finally, given recent events, which are also related to interest rate risk in the banking book (IRRBB) aspects, the EBA stresses the importance to adopt, without delay, the draft RTS which are a crucial piece of the EU regulatory framework for the harmonised assessment and monitoring of exposures of EU institutions to IRRBB.