T340 · FRTB · CRR III · IMA vs SA · AP2 Export

FRTB Internal Model Approach Eligibility Checker

Determine whether a trading desk qualifies for the FRTB Internal Model Approach (IMA) or must use the Standardised Approach (SA) under CRR III provisions binding from January 1, 2027 in the EU. Runs P&L attribution test indicators (CRR III Art.325bh), risk factor modellability assessment (NMRF check, Art.325bj), and backtesting failure threshold evaluation (Art.325bi).

CRR III effective Jan 1, 2027 (EU) IMA vs SA determination P&L Attribution · NMRF · Backtesting · AP2 Export Basel BCBS Jan 2019 · EBA RTS Client-Side · Zero PII · CC BY 4.0
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Step 01 Trading Desk Profile
All systematic and idiosyncratic risk factors mapped
Step 02 P&L Attribution Test (CRR III Art.325bh)
PLAT Thresholds (Art.325bh) — Green zone: Spearman correlation ≥0.80 and Kolmogorov-Smirnov p-value >0.05 and mean unexplained daily P&L ratio <10%. Amber zone: correlation 0.70–0.80 or KS p-value 0.01–0.05 or ratio 10–20%. Red zone: correlation <0.70 or KS p-value <0.01 or ratio >20% — IMA ineligible.
0.82
Risk-theoretical P&L vs Hypothetical P&L Spearman rank correlation
p=0.08
Kolmogorov-Smirnov p-value testing RTPL vs HPL distributions
8%
|Mean(RTPL - HPL)| / Mean(|HPL|)
Step 03 Risk Factor Modellability & NMRF (CRR III Art.325bj)
NMRF Surcharge — Non-Modellable Risk Factors (NMRFs) require a stress scenario capital add-on (SSCA) under Art.325bj. A risk factor is modellable only if at least 24 verifiable price observations are available in any 12-month period, with no gap exceeding 1 month. High NMRF ratios indicate significant capital surcharges that may make IMA unattractive vs SA.
78%
% of risk factors meeting Art.325bj modellability criteria (≥24 obs / 12m, no gap >1m)
15%
Estimated stress scenario capital add-on for NMRFs as % of modelled Expected Shortfall
Step 04 Backtesting (CRR III Art.325bi — 250-day window)
Backtesting Traffic Light (Art.325bi) — Count of 1-day 99% VaR exceptions in last 250 trading days. Green zone: 0–4 exceptions (IMA eligible, no add-on). Amber zone: 5–9 exceptions (capital multiplier add-on, IMA conditional). Red zone: ≥10 exceptions (IMA ineligible — must revert to SA for affected desk).
Count of days where 1-day 99% VaR was exceeded by actual P&L
Step 05 Capital Impact Comparison (IMA vs SA)
Modelled ES-based capital charge (pre-NMRF surcharge)
Sensitivity-based standardised approach capital
Annual cost to maintain IMA (validation, data, IT)
FRTB IMA Eligibility Result
—
Three-Gate IMA Assessment
Capital Impact: IMA vs SA
MetricIMASADifferenceNotes
Eligibility Findings & Remediation
AP2 v1.0 · @ainumbers.co/frtb-ima-eligibility-checker-v1

Regulatory Sources

[1]CRR III (Regulation (EU) 2024/1623), Articles 325 et seq. — FRTB market risk framework, binding from January 1, 2027 in the EU.
[2]CRR III Art.325bh — P&L Attribution Test (PLAT) thresholds: Spearman correlation, KS test, unexplained P&L ratio.
[3]CRR III Art.325bi — Backtesting requirements: 250-day window, 1-day 99% VaR, traffic light framework.
[4]CRR III Art.325bj — Non-Modellable Risk Factors (NMRF): modellability criteria, stress scenario capital add-on (SSCA).
[5]Basel BCBS January 2019 — Minimum Capital Requirements for Market Risk (FRTB final standard).
[6]EBA RTS on IMA — Regulatory Technical Standards on the Internal Model Approach (EBA, 2023/2024).
[7]EU Delegated Act May 2026 — Capital impact offset provisions for FRTB implementation.