On 2 February 2022, the European Banking Authority (EBA) published final draft Regulatory Technical Standards (RTS) on the list of countries with an advanced economy for calculating the equity risk under the alternative standardised approach. The draft RTS form part of the EBA roadmap for the new market and counterparty credit risk approaches.
The draft RTS have been developed according to Article 325ap(3) of the Capital Requirements Regulation, which mandates the EBA to specify what constitutes an emerging market and to specify what constitutes an advanced economy.
Institutions using the alternative standardised approach to determine own funds requirements for market risk are required to compute the equity risk stemming from their trading book positions in accordance with a prescribed set of risk factors and corresponding risk weights.
Based on the results obtained from the related consultation paper, and considering that the EU has a single market, the final draft RTS complement the list of advanced economies by including all member states and all countries belonging to the European Economic Area.