Regulatory Technical Standards on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

  • Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission

These Regulatory Technical Standards (RTS) specify how institutions should calculate the own funds requirements for market risk for their non-trading book positions that are subject to foreign-exchange risk or commodity risk under the FRTB standardised and internal model approaches. In particular, they specify the value of non-trading book positions that institutions should use when computing the own funds requirements for market risk for those positions; they lay down a prudential treatment for the calculation of the own funds requirements for market risk of non-monetary items held at historical cost that may be impaired due to changes in the foreign-exchange rate; and they specify an ad-hoc treatment with respect to the calculation of the actual and hypothetical changes associated to non-trading book positions for the purpose of the backtesting and the profit and loss attribution requirements.

Summary of document history

Previous versions Current version Ongoing versions

Consultation Paper on draft RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

  • Status: Closed
  • Deadline: 10 JUNE 2020
Documents
Consultation Paper on draft RTS on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

(1.09 MB - PDF) Last update 11 February 2020

Public hearing CP on draft RTS on FX and COM in the BB

(1.65 MB - Powerpoint Presentation) Last update 11 February 2020

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Public hearings

Public hearing on draft RTS on the treatment of non-trading book positions subject to foreign-exchange or commodity risk under the new FRTB framework

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