On 17 December 2020, the European Banking Authority (EBA) published a final report containing draft Regulatory Technical Standards (RTS) on the capitalisation of non-modellable risk factors (NMRFs) for institutions using the FRTB Internal Model Approach (IMA) implemented in EU as a reporting requirement.  The RTS have been developed in accordance with Article 325bk(3) of the Capital Requirements Regulation II (CRR II). Article 325bk(3) of the CRR II requires the EBA to develop draft RTS to specify: (a) how institutions are to develop extreme scenarios of future shock applicable to non-modellable risk factors; (b) a regulatory extreme scenario which institutions may use when they are unable to develop an extreme scenario of future shock in accordance with point (a) or which competent authorities may require that institution apply; (c) the circumstances under which institutions may calculate a stress scenario risk measure for more than one non-modellable risk factor; and (d) how institutions are to aggregate the stress scenario risk measures of all non-modellable risk factors.