Europejski Urząd Nadzoru Bankowego, Ostateczny raport Projektu Technicznych Standardów Regulacyjnych zmieniających delegowane przepisy dotyczące wymagań dotyczących przypisywania zysków i strat, oceny możliwości modelowania czynnika ryzyka oraz traktowania ryzyka walutowego i towarowego w księdze bankowej

EBA/RTS/2024/18

13 August 2024

Final report

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

1. Executive Summary

The amendments to CRR made as part of the CRR3 legislative process introduced a number of changes to the fundamental review of the trading book framework (FRTB) as implemented in the EU via the CRR2. As a result, the EBA has been mandated in CRR3 to recast regulatory technical standards that it has developed in the past years on FRTB, where the underlying CRR legal basis has been amended.

Namely, the EBA has been mandated to re-develop standards in relation to:

(i) The profit and loss attribution requirements in accordance with Article 325bg CRR3;

(ii) The modellability assessment of risk factors to be classified as modellable or as nonmodellable in accordance with Article 325be CRR3;

(iii) The treatment of...