The EBA launched two public consultations as part of FRTB roadmap

The European Banking Authority (EBA) launched on March 12 two public consultations on its draft Regulatory Technical Standards (RTS) on gross jump-to-default (JTD) amounts and on residual risk add-on (RRAO). These draft RTS specify how gross JTD amounts are to be determined for the purposes of calculating the default risk charge for non-securitization instruments, and how to identify instruments exposed to residual risks for the purposes of the residual risk add on (RRAO) – under the alternative standardized approach of FRTB.

Read more on the key aspects covered by both drafts.