Regulatory Technical Standards on the capitalisation of non-modellable risk factors under the FRTB

  • Status: Final draft RTS/ITS adopted by the EBA and submitted to the European Commission

These draft Regulatory Technical Standards (RTS) on the capitalisation of non-modellable risk factors (NMRFs) for institutions using the new Internal Model Approach (IMA) under the FRTB (Fundamental Review of the Trading Book) are one of the key deliverables included in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. These draft RTS specify all technical details that are essential for determining the own funds requirements related to non-modellable risks. In particular, they set how institutions are to determine the stress scenario risk measure corresponding to a non-modellable risk factor.

 

Summary of document history

Previous versions Current version Ongoing versions

Consultation Paper on Draft Regulatory Technical Standards on the calculation of the stress scenario risk measure under Article 325bk(3) of Regulation (EU) No 575/2013 (Capital Requirements Regulation 2 - CRR2)

  • Status: Closed
  • Deadline: 4 SEPTEMBER 2020
Documents
Consultation paper on draft RTS the capitalisation of non-modellable risk factors under the FTRB

(5.13 MB - PDF) Last update 25 June 2020

Responses

The form is now closed.

Public hearings

Public hearing on the CP on draft RTS on NMRF – SSRM

Presentation

(1.55 MB - PDF) Last update 3 July 2020

Press contacts

Franca Rosa Congiu