Regulatory Technical Standards on residual risk add-on

  • Status: Adopted and published in the Official Journal of the EU

The Regulatory Technical Standards (RTS) on residual risk add-on (RRAO) clarify the scope of the RRAO, i.e. for which instruments the own funds capital requirements for residual risks should be determined. In particular, these RTS specify a non-exhaustive list of instruments bearing residual risks, and a list of risks that, in themselves, do not constitute residual risks. These RTS also clarify that longevity risk, weather, natural disasters and future realised volatility should all be considered as exotic underlyings.

Summary of document history

Previous versions Current version Ongoing versions

Draft Regulatory Technical Standards on residual risk add-on

  • Status: In force
  • Application date:
  • Compliance deadline:
Documents
Final Report on draft RTS on residual risk add-on

(534.16 KB - PDF) Last update 22 October 2021

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