The European Banking Authority (EBA) has published a document setting out the final draft regulatory technical standards (RTS) on the conditions for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements, for credit and operational risk under the proposed Capital Requirements Regulation.

An accompanying press release states that the key features of the draft RTS include 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 the quantitative threshold as a back-stop regime; and
  • inclusion of standardised documentation requirements that enable competent authorities to assess compliance of institutions with the above rules.

The EBA has submitted the draft RTS to the European Commission for adoption in the form of an EU Regulation.

The next step for the EBA is to review and finalise the RTS specifying the conditions for assessing the materiality of extensions and changes to the internal models approach (IMA) for the market risk. The EBA intends to submit the IMA part to the Commission before the end of 2014.

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 credit and operational risk in accordance with Articles 143(5) and 312(4)(b) and (c) of Regulation (EU) No 575/2013 Capital Requirements Regulation, 5 December 2013

View EBA publishes final draft technical standards on conditions for assessing materiality of extensions and changes of internal approaches for credit and operational risk, 5 December 2013

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