EBA欧洲银行-EBA-Op-2016-01-Opinion-on-IRB-implementation_8页_234kb

EBA Opinion on the Implementation of the IRB Approach Regulatory Review

Introduction and Legal Basis

The European Banking Authority (EBA) has been tasked with addressing concerns regarding the lack of comparability in capital requirements under the Internal Ratings-Based (IRB) Approach. This opinion is a follow-up to the EBA's discussion paper (EBA/DP/2015/01), published in March 2015, which outlined proposed regulatory responses. The EBA's competence to issue this opinion is based on Article 29(1)(a) of Regulation (EU) No 1093/2010, and it was adopted by the Board of Supervisors in accordance with Article 14(5) of its Rules of Procedure.

General Comments

Regulatory Implementation Phases

The EBA has planned the implementation of the IRB Approach regulatory review in four phases, with the following regulatory products and timelines:

Note: The dates in the table are tentative and refer to the submission of final drafts to the European Commission or publication of guidelines, not the application dates. Timelines may be adjusted due to international developments or legislative changes.

Final Implementation Deadline

The EBA expects the effective implementation of all changes to be finalised by the end of 2020. Competent authorities should consider the time needed for approval and notification processes when setting timelines.

Specific Comments

General Principles

• The implementation timelines for changes in the IRB Approach will vary depending on the complexity and number of rating systems used by institutions.
• Phase-in requirements may be introduced for the various elements of the regulatory review.
• Competent authorities should work closely with institutions to agree on implementation timelines.
• Where changes lead to non-compliance with the IRB legislative framework, Article 146 of Regulation (EU) 575/2013 and Article 101(4) of Directive (EU) 2013/36 may be used to address these cases.
• Competent authorities should encourage institutions to implement changes as quickly as possible and integrate them into existing model review and validation plans.
• Timelines should not exceed the end of 2020, unless further EBA opinions alter them.

Cross-Border Institutions

• For cross-border institutions, competent authorities should coordinate on timelines before agreeing with the institutions.
• The timelines should be discussed and agreed by colleges of supervisors where relevant.

Supervisory Approval Process

• Competent authorities may adjust timelines for institutions if the EBA's schedules change.
• The final deadline for implementation of regulatory products should be met, unless modified.

Implementation of Changes in the Definition of Default

• Changes in the definition of default require supervisory approval and may involve adjustments to procedures, IT systems, historical data, and risk parameters.
• The EBA recommends a two-stage supervisory approval process:
  1. Pre-assessment: Focus on updating procedures and IT systems to align with the new definition of default.
  2. Recalibration: Assess the recalibration of risk parameters, incorporating adjustments to historical data and additional margins of conservatism if necessary.
• Permission to apply an adjusted default definition should only be granted after both stages have been completed.
• If changes do not significantly affect risk estimates, the second stage may focus on material models and portfolios.

Implementation of Changes in Risk Parameter Estimation and Treatment of Defaulted Assets

• Although these changes are scheduled for the third phase of the regulatory review, they may be assessed during the second stage of the default definition review.
• This approach aims to reduce unnecessary burdens on institutions by allowing simultaneous implementation of changes.
• Competent authorities should consider whether the changes are classified as material under Commission Delegated Regulation (EU) No 529/2014.

Implementation of Changes in Credit Risk Mitigation Techniques

• The regulatory products in this area are expected to have minimal impact on rating systems, allowing for a relatively short implementation timeline.
• Changes in credit risk mitigation may be aligned with other necessary changes in rating systems.
• Competent authorities should consider whether the changes are material and whether institutions plan to include additional types of collateral in their risk parameter estimations.

Disclosures

• The EBA will start implementing the Basel Committee's revised Pillar 3 framework in 2016, focusing on improving the quality, granularity, and consistency of disclosures.
• The framework may require slight adaptations to suit the EU banking system, which will be decided through the regular consultation process.
• The EBA will also continue specific disclosure exercises, either independently or as part of EU-wide stress tests, to standardise the format of disclosures.
• Key information such as exposures, risk-weighted assets, capital requirements, and P&L items will be disclosed on a bank-by-bank and aggregated basis.
• Regular publication of aggregate risk parameters will be part of the EBA's efforts to increase transparency in internal model outcomes.