On 29 November 2023, the European Banking Authority (EBA) published a consultation paper on draft regulatory technical standards (RTS) on the conditions for assessing the materiality of extensions and changes to the use of alternative internal models and changes to the subset of the modellable risk factors referred to in Article 325bc under Article 325az(8)(a) of the Capital Requirements Regulation (CRR).

Article 325az(8)(a) of the CRR requests the EBA to draft RTS to specify the conditions for assessing the materiality of extensions and changes to the use of alternative internal models and changes to the subset of the modellable risk factors. The mandate in Article 325az(8)(a) of the CRR is very similar to the mandate in Article 363(4)(a), which constitutes the legal basis for the existing RTS on market risk model extension and changes, therefore the existing RTS is used as a starting point from which the new RTS is developed.

These RTS follow the CRR differentiation between material extensions and changes, to be approved by Member State competent authorities, and non-material extensions and changes, to be notified to Member State competent authorities. The RTS further divide the latter category into two sub-categories: notified extensions and changes requiring additional information and other extensions and changes.

The deadline for feedback to this consultation is 29 February 2024.