Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book

  • Status: Under consultation

The CRR3 introduces a number of changes to the FRTB and includes mandates for the EBA to amend the existing RTS to make them fit with the new Level 1 text. The RTS on the FRTB relate to the treatment of foreign-exchange and commodity risk in the banking book, the profit and loss attribution test and the risk factor modellability assessment. The revisions mostly aim to align these RTS with the CRR3 and ensure stability in the applicable regulatory framework.

Summary of document history

Previous versions Current version Ongoing versions

Consultation on Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book

  • Status: Open
  • Deadline: 14 MARCH 2024
Documents
Consultation paper on amendments to the FRTB RTS

(467.92 KB - PDF)

Responses

Responses to the consultations can be sent to the EBA.

All contributions received will be published after the consultation closes, unless requested otherwise.

Deadline for submitting responses: 14/03/2024 at 23:59

Public hearings

Public hearing on amending RTS on FRTB and amending RTS on SA-CCR

Press contacts

Franca Rosa Congiu