EBA latest draft RTS under the FRTB framework: treatment of non-trading book positions subject to FX or commodity risk and on capital requirements of non-modellable risks
21 December 2020
The European Banking Authority (EBA) published on the 3rd, respectively on the 17th of December the final draft of the Regulatory Technical Standards (RTS) on how institutions are to calculate the own funds requirements for foreign-exchange and commodity risk stemming from banking book positions under the FRTB standardised and internal model approached; and on the capitalisation of non-modellable risk factors (NMRFs) for institutions using the FRTB internal model approach.
Both Regulations shall enter into force on the twentieth day following that of each publication in the Official Journal of the European Union and shall be binding in its entirety and directly applicable in all Member States. In this alert, you will read more about the key aspects the final draft of the RTS sets out.