On 20 June 2024, the European Banking Authority (EBA) issued a Final Report containing draft Regulatory Technical Standards (RTS) on conditions for assessing the materiality of extensions and changes to the use of alternative 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 referred to in Article 325bc. 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. The only novelty is that the new mandate mentions the changes to the “reduced set” of modellable risk factors for the rest of model extensions and changes. Given the similarities between the existing and new mandates, the existing RTS have been used as a starting point for the new RTS.

The draft RTS will be submitted to the European Commission for endorsement following which they will be subject to scrutiny by the European Parliament and the Council before being published in the Official Journal of the European Union.