The EBA consults on draft technical standards on market and counterparty credit risk as part of its roadmap for the implementation of the Banking Package in the EU

EBA is consulting on two sets of draft RTS regarding market and counterparty credit risk as part of its roadmap for implementing the Banking Package in the EU. The amendments focus on the FRTB and the SA-CCR. These changes aim to align existing RTS with the CRR 3. The CRR 3 introduces alterations to the FRTB, and the EBA is mandated to amend the RTS accordingly.

The FRTB amendments (EBA/CP/2023/41) address specific aspects, including the treatment of foreign-exchange and commodity risk in the banking book, the profit and loss attribution test, and the risk factor modellability assessment. The objective is to ensure consistency with the changes introduced by CRR 3 and to foster stability within the regulatory framework. Notably, CRR 3 has mandated the EBA to adjust existing RTS to accommodate new Level 1 text, necessitating revisions to the FRTB-related standards.

In parallel, the EBA is soliciting feedback on draft RTS related to the SA-CCR (EBA/CP/2023/40). Similar to the FRTB amendments, these changes are part of the broader implementation roadmap for the Banking Package in the EU.
The SA-CCR amendments primarily address the formula for calculating the supervisory delta of interest rate options compatible with negative interest rates. Furthermore, CRR 3 introduces a mandate for the EBA to specify the formula for commodity options compatible with negative commodity prices. These amendments extend the existing approach for negative interest rates to the context of negative commodity prices, a phenomenon observed during the COVID-19 period.
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The consultation process allows stakeholders to provide feedback on the draft technical standards. The EBA plans a public hearing on 21 February 2024 from 16:00 to 17:00 CET, please register for the hearing by 19 February 16:00 CET. The deadline for comments is 14 March 2024 (EBA/CP/2023/41, EBA/CP/2023/40). The draft RTS on FRTB and amending RTS on SA-CCR will be submitted separately. The EBA’s roadmap outlines intentions and phases for a smooth EU-wide implementation of new approaches, aligning with CRR 3 deadlines.