EU policymakers reached a trilogue agreement on the third Capital Requirements Regulation (CRR 3) and sixth Capital Requirements Directive. The package transposes the Basel III framework into EU law, including the output floor, credit and operational risk as well as the Fundamental Review of the Trading Book (FRTB) and the credit valuation adjustment risk framework, among other topics, The International Swaps and Derivatives Association (ISDA) writes in a legal update.
Details of the measures have not yet been published. However, EU policymakers have agreed to the implementation of the output floor at solo level with several transitional provisions, including the standardized approach to counterparty credit risk’s alpha factor set to one for the purpose of the floor calculations.
The details of the deal will be further ironed out in the coming weeks. It will be submitted for approval to member states and members of the European Parliament and is expected to be published in the Official Journal of the European Union in the second half of 2023, with implementation set to begin on January 1, 2025.