On 22 April 2020, the European Banking Authority (EBA) published a statement on the application of the prudential framework on targeted aspects in the area of market risk in the COVID-19 outbreak.
The statement cover four areas:
- prudent valuation;
- fundamental review of the trading book standardised approach reporting requirements;
- implementation of phase V and VI of the implementation of the joint European Supervisory Authorities’ regulatory technical standards on non-cleared over-the-counter derivatives; and
- back-testing breaches on IMA models.