Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book
- Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission
The CRR3 introduces a number of changes to the FRTB and includes mandates for the EBA to amend the existing RTS to make them fit with the new Level 1 text. The RTS on the FRTB relate to 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 revisions mostly aim to align these RTS with the CRR3 and ensure stability in the applicable regulatory framework.