Regulatory Technical Standards on the materiality of extensions and changes to the use of FRTB IMA and changes to the subset of modellable risk factors

The Regulatory Technical Standards (RTS) on the materiality of extensions and changes to the use of the Internal Models Approach (IMA) and changes to the subset of the modellable risk factors (MRF) under the Fundamental Review of the Trading Book (FRTB) rules are part of the EBA roadmap for the new market and counterparty credit risk approaches. Material extensions and changes to the use of the IMA and material changes to the institution's choice of the subset of the MRF, require permission from competent authorities before implementation. Other non-material extensions and changes to the use of the IMA require notification to the competent authorities. These RTS specify the conditions for assessing the materiality of extensions and changes to the use of the IMA and changes to the subset of the MRF.