Amendment of RTS on FRTB regarding CRR3

Topic area:
Status: 21.12.2023 |
Aktuell
Key words:
Amendment, Market risk
Initiative
Official name
Consultation Papert - Draft Regulatory Technical Standards amending delegated regulations on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book
COMMISSION DELEGATED REGULATION (EU) …/… of XXX amending the regulatory technical standards laid down in Delegated Regulation (EU) 2022/2059, Delegated Regulation (EU) 2022/2060 and Delegated Regulation 2023/1577 as regards the technical details of backtesting and profit and loss attribution requirements, the criteria for assessing the modellability of risk factors, and the treatment of foreignexchange risk and commodity risk in the non-trading book
Type
Delegated Regulation
Level 2
Initiator
EBA
Submitted
14.12.2023
Doc. code
EBA/CP/2023/41
Summary
Status
Status

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Current version
Consultation paper
14.12.2023
Next step
Entry into force and application
Entry into force

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Application date

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Scope
Relevant for

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Associated initiatives
Level 1
CRR (binding, Main version, EU)
The finalisation of BASEL III - CRR III (CRR3) (binding, Amendment, EU)
Level 2
Back-testing requirements and Profit and Loss attribution requirements (binding, Supplement, EU)
Criteria for assessing the modellability of risk factors under the IMA for market risk (binding, Supplement, EU)
RTS on FX and Commodity risk in the non-trading book (binding, Supplement, EU)
Level 3 / Other
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Source: EBA, EBA/CP/2023/41, 2023