Europejski Urząd Nadzoru Bankowego, Raport końcowy - Projekt regulacyjnych standardów technicznych dotyczących metodyki oceny, na podstawie której właściwe organy weryfikują zgodność instytucji z metodą modelu wewnętrznego zgodnie z art. 325az ust. 8 rozporządzenia (UE) nr 575/2013

EBA/RTS/2023/05

21 November 2023

Final report

Draft regulatory technical standards on the assessment methodology under which competent authorities verify an institution’s compliance with the internal model approach as per Article 325az(8) of Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 - CRR2)

1. Executive Summary

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

One of the prerequisites for an institution to use an internal model approach (IMA) for calculating the own funds requirements for market risk is the approval from its competent authority. Typically, for being granted such approval, the institution is subject to a thorough and comprehensive examination, where the competent authority assesses the institution’s internal model...