On 27 June 2019, the European Banking Authority (EBA) published its roadmap on the new market and counterparty credit risk approaches and launched a consultation on eleven draft Regulatory Technical Standards (RTS) on the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB) standards along with a data collection exercise on non-modellable risk factors.
The draft RTS have been inserted into 3 different consultation papers covering: liquidity horizons, back-testing and profit and loss attribution requirements; and criteria for assessing the modellability of risk factors under the IMA. The deadline for comments on the consultations is 4 October 2019.
The draft RTS were developed considering proposals included in an earlier EBA Discussion Paper on ‘Implementation in the EU of the revised market risk and counterparty credit risk frameworks’ and the industry feedback received as a result of the subsequent consultation. The entry into force of the RTS will trigger a three year period after which institutions, which have been granted permission to use the new IMA for reporting purposes, will be required to report IMA figures.