Final Report RTS on Method for Identifying Main Risk Driver and Determining Long or Short Position

The document establishes Regulatory Technical Standards specifying the methodology for identifying the main risk driver of a position and determining whether a transaction represents a long or short position under Articles 94(3), 273a(3), and 325a(2) of Regulation (EU) No 575/2013. It mandates a general methodology based on FRTB-SA sensitivities or SA-CCR add-ons, while introducing a simplified method for simple instruments such as fixed-rate bonds, stocks, and plain vanilla options that is extended to all institutions. The standards define specific rules for determining position direction based on risk drivers like interest rates, credit spreads, and inflation, and allow the disregard of FX risk drivers for non-FX trades under the simplified method. These rules apply to institutions assessing conditions for derogations regarding small trading book business, simplified derivative valuation, and the simplified standardized approach for market risk.

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EBA/RTS/2025/19
06.12.2024
Final Report
Draft Regulatory Technical Standards on the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position as referred to in Articles 94(3), 273a(3) and 325a(2) under
Article 94(10) of Regulation (EU) No 575/2013

FINAL REPORT ON RTS ON METHOD FOR IDENTIFYING THE MAIN RISK DRIVER OF A POSITION AND FOR DETERMINING WHETHER A TRANSACTION REPRESENTS A LONG OR A SHORT POSITION Contents

Executive Summary 3
Background and rationale 5
2.1 Scope of the RTS 6
2.2 General methodology 6
2.3 Simplified method 7
Draft regulatory technical standards 14
Accompanying documents 24
4.1 Draft cost-benefit analysis / impact assessment 24
4.2 Feedback on the public consultation 32

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Source: European Banking Authority — original document · Summary generated with machine assistance and reviewed before publication; the authoritative text is the regulator's original document. How RegAlert works