The EBA published a roadmap on the new market and counterparty credit risk (CCR) approaches and launched a consultation (to run until 4 October 2019) on eleven draft regulatory technical standards (RTS) on the new internal model approach (IMA) under the latest market risk / fundamental review of the trading book (FRTB) standards along with a data-collection exercise on non-modellable risk factors (NMRF). The roadmap provides a comprehensive overview of EBA deliverables and the prioritisation of the EBA work according to four phases, broadly in line with the deadlines included in the amended Capital Requirements Regulation (CRR II).
The eleven draft technical standards have been included in three different consultation papers (CPs): the CP on draft RTS on liquidity horizons, the CP on draft RTS on back-testing and profit and loss attribution (PLA) requirements and the CP on draft RTS on criteria for assessing the modellability of risk factors under the IMA. The draft standards were developed considering the proposals included in the EBA DP on ‘Implementation in the EU of the revised market risk and CCR frameworks' published on 18 December 2017 and the industry feedback received. The entry into force of these technical standards will trigger the three-year-period after which institutions that have been granted permission to use the new IMA for reporting purposes will be required to report IMA figures.
In parallel with the consultation, the EBA is launching a data-collection exercise on NMRF (to run until 4 September 2019), to support the EBA in fine-tuning and calibrating the methodology presented in the DP for the computation under the IMA of the capital charge corresponding to risk-factors that have been identified as non-modellable.