Date: 31-Oct-2024Category: Not ApplicableState: Union GovernmentCountry: Europe
Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the date of application of the own funds requirements for market risk
Commission Delegated Regulation (EU) 2024/2795 defers the application of the Fundamental Review of the Trading Book (FRTB) standards for the calculation of own funds requirements for market risk by one year.
The regulation ensures that institutions continue to report information related to their own funds requirements calculation for market risk under pre-FRTB approaches until 1 January 2026.
Institutions are also required to continue reporting their own funds requirements in accordance with Article 430b of Regulation (EU) No 575/2013 in the version in force on 8 July 2024.
Key Changes
The application date of the FRTB standards for calculating own funds requirements for market risk is deferred by 1 year, until 1 January 2026.
Article 520a is inserted into Regulation (EU) No 575/2013, stipulating that until 1 January 2026, institutions must continue to apply Part Three, Title IV, and the market risk requirements of Articles 430, 430b, 445 and 455 of Regulation (EU) No 575/2013 in the version in force on 8 July 2024.
The regulation applies from 1 January 2025.
Impact Analysis
Credit Institutions
Action Item: Update internal timelines to reflect the deferred implementation date of FRTB. Ensure continued compliance with pre-FRTB reporting requirements.
Competent Authorities
Action Item: Monitor institutions' compliance with pre-FRTB reporting requirements. Continue to facilitate implementation-related exchanges with institutions.
Market Participants
Action Item: Continue to monitor disclosures based on pre-FRTB approaches for assessing market risk exposure.
Key Entities Referenced
European Commission: The executive branch of the European Union, responsible for proposing legislation, implementing decisions, and managing the day-to-day business of the EU.
European Parliament: The directly elected parliamentary body of the European Union with legislative, supervisory, and budgetary responsibilities.
Council of the European Union: A body composed of government ministers from each EU member state to discuss, amend, and adopt laws and coordinate policies.
Regulation (EU) No 575/2013: Regulation of the European Parliament and of the Council on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012.
Regulation (EU) 2019/876: Regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012.
Regulation (EU) 2024/1623: Regulation of the European Parliament and of the Council amending Regulation (EU) No 575/2013 as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor.
Basel Committee on Banking Supervision (BCBS): The primary global standard setter for the prudential regulation of banks and provides a forum for cooperation on banking supervisory matters.
Fundamental Review of the Trading Book (FRTB): A comprehensive set of own funds requirements for market risk exposures developed by the Basel Committee on Banking Supervision (BCBS).
Official Journal EN
of the European Union L series
2024/2795 31.10.2024
COMMISSION DELEGATED REGULATION (EU) 2024/2795
of 24 July 2024
amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard
to the date of application of the own funds requirements for market risk
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to the Treaty on the Functioning of the European Union,
Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on
prudential requirements for credit institutions and amending Regulation (EU) No 648/2012(1), and in particular
Article 461a(2) thereof,
Whereas:
(1) Regulation (EU) 2019/876 of the European Parliament and of the Council(2) amended Regulation (EU)
No 575/2013, inter alia to introduce as a reporting requirement into that Regulation the Fundamental Review of the
Trading Book (FRTB) standards, which is a comprehensive set of own funds requirements for market risk exposures
developed by the Basel Committee on Banking Supervision (BCBS). Regulation (EU) 2024/1623 of the European
Parliament and of the Council(3) amended Regulation (EU) No 575/2013 once more, inter alia to transform the
FRTB standards into binding requirements for the calculation of own funds requirements for market risk.
(2) Given the highly competitive nature of international trading activities, the FRTB standards were adopted on the
premise that their implementation across jurisdictions, both in terms of substance and timelines, would ensure an
international level playing field for institutions’ trading activities. The monitoring of the implementation of the
FRTB standards in other BCBS member jurisdictions, and more specifically in those jurisdictions with a large
number of internationally active banks, has showed that, due to delays to the implementation of the FRTB standards
in those jurisdictions, there is a significant risk of distortions to the international level playing field. It is therefore
necessary to defer the application of the FRTB standards for the calculation of own funds requirements for market
risk in the Union for 1 year.
(3) Competent authorities need information to monitor the impact of the FRTB, identify potential issues, and facilitate
the implementation-related exchanges between them and institutions. Therefore, institutions should be required to
continue to report the information related to their own funds requirements calculation for market risk under pre-
FRTB approaches until the date of application of the FRTB for the calculation of own funds requirements for market
risk in the Union. At the same time, institutions should also continue to report to their competent authorities their
own funds requirements in accordance with Article 430b of Regulation (EU) No 575/2013 in the version in force
on 8 July 2024.
(1) OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj.
(2) Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as
regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk,
market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and
disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1, ELI: http://data.europa.eu/eli/reg/2019/876/oj).
(3) Regulation (EU) 2024/1623 of the European Parliament and of the Council of 31 May 2024 amending Regulation (EU) No 575/2013
as regards requirements for credit risk, credit valuation adjustment risk, operational risk, market risk and the output floor (OJ L,
2024/1623, 19.6.2024, ELI: http://data.europa.eu/eli/reg/2024/1623/oj).
ELI: http://data.europa.eu/eli/reg_del/2024/2795/oj 1/2EN
OJ L, 31.10.2024
(4) Regulation (EU) 2024/1623 introduces into Regulation (EU) No 575/2013 specific disclosure requirements for
market risk, tailored to the requirements laid down in the FRTB for the calculation of own funds requirements for
market risk. The date of application of the provisions in Regulation (EU) 2024/1623 concerning the calculation of
own funds requirements for market risk is, however, to be deferred by 1 year. For reasons of consistency, the related
specific disclosure requirements should also be postponed by 1 year. Given the importance of the disclosure of own
funds requirements in preserving a robust market discipline and in informing the investment decisions of market
participants, institutions should instead be required, during that period of deferral, to continue disclosing the
information relevant for their exposure to market risk and related own funds requirements based on the pre-FRTB
calculation approaches.
(5) Regulation (EU) No 575/2013 should therefore be amended accordingly.
(6) Regulation (EU) 2024/1623 will start to apply as of 1 January 2025. It is therefore necessary to align the date of
entry into force and date of application of this Regulation with that date to avoid conflicting requirements to
institutions,
HAS ADOPTED THIS REGULATION:
Article 1
Amendment to Regulation (EU) No 575/2013
In Regulation (EU) No 575/2013, the following Article 520a is inserted:
‘Article 520a
Application of own funds requirements for market risk
Until 1 January 2026, institutions shall continue to apply Part Three, Title IV, and the market risk requirements of
Articles 430, 430b, 445 and 455 of this Regulation in the version in force on 8 July 2024.’.
Article 2
Entry into force and application
This Regulation shall enter into force on the day following that of its publication in the Official Journal of the European Union.
This Regulation shall apply from 1 January 2025.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 24 July 2024.
For the Commission
The President
Ursula VON DER LEYEN
2/2 ELI: http://data.europa.eu/eli/reg_del/2024/2795/oj