Regulatory Technical Standards on residual risk add-on

Under development

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.

News

Consultation Papers