2020/04/22

The EBA published two statements and proposed amending RTS addressing the current pandemic. In its statement on target aspects of market risk, the EBA proposes delaying reporting for the first FRTB-SA figures to September 2021 and highlights the flexibility in the prudential requirements available to competent authorities for banks using internal VaR models. The EBA also proposes amendments to its RTS on prudent valuation (Reg (EU) 2016/101), replacing the 50% aggregation factor with one of 66% until 31 December 2020 under the so-called core approach. The EBA also supports a pragmatic approach to the supervisory review and evaluation process (SREP) in 2020, which should focus on the most material risks and vulnerabilities driven by the crisis. The EBA believes recovery planning activities should center on understanding which recovery options are necessary and available under the current stressed conditions. The EBA calls on institutions to ensure business continuity, adequate ICT capacity and security risk management supported through its new ICT and security risk management GL. And the EBA provides further clarity on the prudential application of the definition of default and forbearance as well as how the EBA GL on legislative and non-legislative moratoria on loan repayments apply to securitisations.

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