On November 22, 2016, the European Banking Authority published a Report and the final draft Regulatory Technical Standards under the Capital Requirements Regulation on the assessment methodology national regulators should use when a firm applies for approval to calculate their own funds requirements using their internal models for one or more risk categories. In particular, the final draft RTS cover: (i) the methodology for national regulators to assess whether a firm complies with the requirements to use an Internal Model Approach for market risk; and (ii) the conditions under which national regulators assess the significance of the positions that will be included in the scope of an IMA. When finalizing the final draft RTS, the EBA took into account, to the extent possible under the existing CRR, the Fundamental Review of the Trading Book that the Basel Committee published in January 2016. The final draft RTS have been submitted to the European Commission for consideration.
The final draft RTS is available at: http://www.eba.europa.eu/documents/10180/1669525/Final+draft+RTS+on+the+IMA+assessment+methodology+%26+significant+shares+%28EBA-RTS-2016-07%29.pdf.
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