EBA consults on assessment methodology for IRB approach

The European Banking Authority (EBA) launched today a consultation on its draft Regulatory Technical Standards (RTS) on assessment methodology for internal ratings-based (IRB) approach. These draft RTS are a key component of the EBA's work to ensure consistency in models outputs and comparability of risk-weighted exposures and will contribute to harmonise the supervisory assessment methodology across all EU Member States.. The consultation runs until 12 March 2015.

 

These draft RTS set out standards for the competent authorities to help them assess an institution's compliance with minimum IRB requirements when it (i) initially applies to use the IRB approach, (ii) applies to use IRB approach for certain types of exposures in accordance with the sequential implementation plan, (iii) applies for implementation of material changes to the IRB approach and (iv) applies to resume less sophisticated approaches. Competent authorities will also use these draft RTS to assess whether institution meets minimum IRB requirements on an ongoing basis following their regular review of the IRB approach as well as of the changes that require notifications from the institution. Consequently, these RTS will need to be embedded in day-to-day practices of supervisory authorities.

 

To ensure uniform interpretation and application by all relevant competent authorities across the EU of all minimum IRB requirements, these draft RTS provide a mapping of the assessment criteria in fourteen chapters. Furthermore, these draft RTS take account of the proportionality principle and put forward relevant methods which have to be used by competent authorities depending on the nature, size and degree of complexity of the institution´s business and organizational structure.

Comments to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 12 March 2015.

 

A public hearing will then take place at the EBA premises on 9 February from 9.30 to 13.30 UK time. All contributions received will be published following the close of the consultation, unless requested otherwise.

These draft RTS have been developed according to Articles 144(2), 173(3) and 180(3)(b) of the Capital Requirements Regulation (CRR) which mandates the EBA to develop the assessment methodology for the IRB approach.