EBA publishes final draft standards on key areas for the EU implementation of the FRTB
9 April 2020
The European Banking Authority (EBA) published on March 27th the final draft Regulatory Technical Standards (RTS) on the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These technical standards conclude the first phase of the EBA roadmap towards the implementation of the market and counterparty credit risk frameworks in the EU.
These final draft technical standards cover 11 mandates and have been grouped in three different documents: the final RTS on liquidity horizons for the IMA; the final draft RTS on back-testing and profit and loss attribution (PLA) requirements; and the final draft RTS on criteria for assessing the modellability of risk factors under the IMA. These final draft RTS have been developed according the Capital Requirements Regulation as amended by the Capital Requirements Regulation II (CRR II).
This article provides further insight on the three different documents representing the final draft RTS.