03 August 2023
The European Banking Authority (EBA) today launched a public consultation on draft Regulatory Technical Standards (RTS) to identify extraordinary circumstances of market disruption, permitting to waive certain requirements for the calculation of own funds requirements for market risk on the basis of internal models. The consultation runs until 3 November 2023.
The draft RTS establish a high-level framework for identifying a situation of extraordinary circumstances, setting out conditions that need to be met, and define indicators that could support the identification of extraordinary circumstances.
Under such extraordinary circumstances, institutions may continue using their internal models for a trading desk, even if that trading desk does not meet the back-testing requirements or fails the profit and loss attribution test, or they may disregard certain overshootings observed during the back-testing.
Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 3 November 2023. All contributions received will be published following the close of the consultation, unless requested otherwise.
A public hearing will take place in the form of a webinar on 20 September 2023 from 15:00 to 16:00 CEST. The EBA invites interested stakeholders to register using this link by 18 September 2023, 16:00 CEST. The dial-in details will be communicated to the registered participants after the registration deadline.
These draft RTS were developed in accordance with the mandate of Article 325az(9) of Regulation (EU) No 575/2013 (Capital Requirements Regulation, CRR), which mandates the EBA to specify the extraordinary circumstances under which competent authorities may permit an institution to derogate from certain requirements regarding the calculation of own funds requirements for market risk on the basis of internal models in accordance with the revised market risk framework (FRTB).