On December 14, 2015, the EBA launched a consultation on proposed draft Regulatory Technical Standards under the CRR 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 proposed 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. The proposed draft RTS are consistent with the RTS on the conditions for assessing materiality of extensions and changes to use market internal models, adopted by the European Commission in June 2015. Comments are due by March 13, 2016.
The consultation paper is available at: http://www.eba.europa.eu/documents/10180/1309020/EBA-CP-2015-27+CP+on+RTS+on+Assessment+methodology.pdf.
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