Delegated Regulation Published Supplementing EU Capital Requirements Regulation on Assessments of Internal Models for Market Risk

Commission Delegated Regulation (EU) 2024/1085 has been published in the Official Journal of the European Union, supplementing the EU Capital Requirements Regulation with regard to regulatory technical standards on the assessment methodology under which national regulators verify an institution's compliance with the requirements to use internal models for market risk. The RTS identify all elements that are to be assessed by the national regulator when granting the approval to use an internal model approach to compute the own funds requirements for market risk. They are constituted by three main chapters: (i) assessment of qualitative requirements; (ii) assessment of the internal risk-measurement model used to compute the expected shortfall measure and the stress scenario risk measure; and (iii) assessment of the internal default risk model used to compute the additional own funds requirement for default risk. The Delegated Regulation enters into force on July 7, 2024, 20 days after publication in the Official Journal of the European Union, with the exception of Article 18(1)(a), regarding the environmental risk, Article 18(1)(c)(vii) and Article 18(2)(b)(v), which will apply from January 1, 2025; and Article 21(1)(b), which will apply from January 1, 2026.

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