Europejski Urząd Nadzoru Bankowego, Ostateczny raport - Projekt technicznych standardów regulacyjnych dotyczących warunków oceny istotności rozszerzeń i zmian w zakresie stosowania alternatywnych wewnętrznych modeli oraz zmian w podzbiorze ryzyk modelowalnych, o których mowa w artykule 325bc na mocy artykułu 325az(8)(a) Rozporządzenia w sprawie wymogów kapitałowych (CRR)

EBA/RTS/2024/15

20 June 2024

Final Report - Draft Regulatory Technical Standards on 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 under Article 325az(8)(a) of the CRR

Regulation (EU) 2019/876 (the Capital Requirements Regulation 2 – CRR2) amended Regulation (EU) No 575/2013 (CRR) and implemented in EU legislation, inter alia, the revised requirements to compute own funds requirements (OFR) for market risk of the Basel III package, i.e. the Fundamental Review of the Trading Book (FRTB).

The CRR allows institutions to calculate their OFR for market risk using the alternative internal model approach (IMA), provided that permission from competent authorities (CAs) is granted. According to the CRR, material changes to the use of the IMA, the extension of the use of the IMA and material changes to the institution's choice of the subset of the...