Concessions in the area of market risk
- The EBA proposes a change to technical standards concerning the prudent valuation of positions in the trading book. The change would reduce the procyclicality of the core approach, and it would be valid until the end of 2020.
- The EBA also intends to postpone the roll-out of its so-called FRTB-SA reporting requirement by half a year, to September 2021.
- The EBA emphasises the measures available to competent authorities concerning banks which apply internal VaR models to the calculation of capital requirements.
Other statements regarding the COVID-19 pandemic
- The EBA acknowledges the need for a practical approach in the 2020 SREP assessments, with a particular focus on the most relevant risks and vulnerabilities related to the crisis.
- In the context of updating the recovery plan, the EBA emphasises the recovery options and the assessment of their feasibility in light of the present situation. The recovery plan scenarios may also be limited to one COVID-19 scenario.
- The EBA underscores the importance of digital operability, with data security and business continuity as some of the priorities. EBA Guidelines on ICT and security risk management steer focus onto prioritised areas.
- The EBA clarifies how the EBA Guidelines on legislative and non-legislative moratoria on loan repayments applied in the light of the COVID-19 crisis apply to securitised assets.
For further information, please contact
Tommi Aarnio, Risk Expert, telephone +358 9 183 5007 or tommi.aarnio(at)fiva.fi