Per Article 325az(9) of the CRR the draft RTS specify the extraordinary circumstances under which Member State competent authorities may permit an institution to:
- Continue using their alternative internal models for the purpose of calculating the own funds requirements for the market risk of a trading desk that does not meet the back-testing requirements for the market risk of a trading desk that does not meet the back-testing requirements any longer or fails the profit and loss attribution test, and/or
- Limit the add-on to the one resulting from overshootings under back-testing hypothetical changes.
The deadline for comments on the consultation paper is 3 November 2023.