The European Banking Authority (EBA) has published a document setting out final draft regulatory technical standards (RTS) on the conditions for assessing the materiality of extensions and changes of internal approaches for market risk under Article 363(4) of the Capital Requirements Regulation (CRR).
The final draft RTS include key features such as the:
- introduction of three categories of model extensions and changes;
- introduction of an exhaustive list of qualitative conditions that is linked to the minimum requirements for internal approaches;
- design of quantitative thresholds as a back-stop regime; and
- inclusion of standardised documentation requirements that enable EU national competent authorities to assess compliance of institutions with the relevant rules.
The final draft RTS have been sent to the European Commission for adoption in the form of an EU Regulation.
View EBA final draft regulatory technical standards on the conditions for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements for market risk under Article 363(4) of Regulation (EU) No 575/2013 (the Capital Requirements Regulation — CRR), 4 July 2014