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Regulatory Technical Standards on profit and loss attribution requirements, risk factor modellability assessment, and the treatment of FX and commodity risk in the banking book
Regulatory Technical Standards on the standardised approach for counterparty credit risk
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
Regulatory Technical Standards on extraordinary circumstances for continuing the use of an internal model
Regulatory Technical Standards on the assessment methodology to verify an institution’s compliance with the internal model approach
Regulatory Technical Standards on emerging markets and advanced economies
Regulatory Technical Standards on residual risk add-on
Regulatory Technical Standards on gross jump-to-default amounts
Guidelines on criteria for the use of data inputs in the expected shortfall risk measure under the IMA
Regulatory Technical Standards on default probabilities and losses given default for default risk model under the Fundamental Review of the Trading Book
Regulatory Technical Standards on the capitalisation of non-modellable risk factors under the FRTB
Regulatory Technical Standards on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk
Guidelines on the treatment of structural FX under Article 352(2) of the CRR
Technical Standards on the IMA under the FRTB
This package of 11 draft technical standards specifies essential aspects of the Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB) and represents an important contribution to a smooth and harmonised implementation of the FRTB in the EU. The package includes (i) the draft RTS on liquidity horizons for the IMA, which specify how institutions should map risk factors to risk factors categories and subcategories, the currencies that constitute the most liquid currencies for interest rate risk, the currency pairs that constitute the most liquid pairs for foreign exchange (FX) risk and the definition of a small and large capitalisation for equities; (ii) the draft RTS on back-testing and profit and loss attribution (PLA) requirements, which specify the technical elements that institutions should consider where calculating the hypothetical, actual and risk-theoretical changes (HPL, APL and RTPL) in the relevant portfolio’s value for the purpose of the back-testing and the PLA test, as well as the criteria ensuring that the RTPL is sufficiently close to the HPL, the consequences for institutions with desks showing misalignments between RTPL and HPL, the frequency at which the PLA tests should be performed and the formula to be used where aggregating the own funds requirements for market risk for reporting purposes; and (iii) the draft RTS on the criteria for assessing the modellability of risk factors under the IMA, which set out how institutions should determine whether a risk factor is modellable or not, and the frequency of the assessment.