EBA欧洲银行-EBA-BS-2011-209-final-EBA-GL-on-AMA-extensions-and-changes_30页_708kb

EBA Guidelines on Advanced Measurement Approach (AMA) - Extensions and Changes (GL 45)

Core Content

The EBA Guidelines on Advanced Measurement Approach (AMA) - Extensions and Changes (GL 45) provide a framework for credit institutions and investment firms using AMA to communicate and implement changes or extensions to their operational risk models. These guidelines are designed to harmonise supervisory practices and ensure that institutions align their internal policies with regulatory expectations.

Main Views and Key Information

1. Purpose and Scope

• The guidelines aim to harmonise the internal practices of institutions and the supervisory treatment of AMA extensions and changes.
• They apply to institutions using AMA for operational risk capital calculation and to EU parent credit institutions or financial holding companies if the AMA is applied on a unified basis.
• The guidelines do not impose new requirements on the modelling or risk management processes, but focus on the communication and approval process for changes.

2. AMA Change Policy

• Institutions must establish and implement an AMA Change Policy, which outlines internal procedures for classifying and processing planned changes or extensions.
• The policy should include:
  • Criteria for classifying changes (extensions, significant, major, minor).
  • Internal processes and responsibilities for implementing and documenting changes.
  • Independent review procedures for planned extensions or significant changes.
• The policy must be regularly reviewed and adjusted to reflect internal governance or AMA framework changes.

3. Classification of Changes

• Changes are classified into four categories based on materiality: extensions, significant changes, major changes, and minor changes.
• Extensions involve the introduction of new components (e.g., insurance, expected loss deduction) or the implementation of AMA at parts of the group.
• Significant changes are those that fundamentally alter the structure, data, or methods of the AMA.
• Major changes involve adjustments to internal procedures, data collection, or IT systems that could affect the reliability of the model.
• Minor changes are less impactful and do not meet the criteria for significant or major changes, even when considered in conjunction with other changes.

4. Supervisory Procedures

• Extensions and significant changes require prior approval from competent authorities.
• Major and minor changes need to be notified to competent authorities, but do not require formal approval.
• Institutions must submit documentation to support any change, including rationale, expected effects, and independent reviews.
• Competent authorities may impose conditions or recommendations, such as parallel running of the old and new models.

5. Implementation and Compliance

• Competent authorities must implement the guidelines by 6 March 2012, incorporating them into their supervisory procedures.
• Institutions must notify the EBA by 6 March 2012 whether they comply with the guidelines or provide reasons for non-compliance.
• Institutions using AMA must submit their AMA Change Policy to competent authorities by 30 June 2012.

6. Annex 1: Classification Criteria

• The annex outlines non-exhaustive criteria for classifying changes into the four categories.
• It provides guidance on when a change qualifies as an extension, significant, major, or minor change.
• Institutions are expected to apply broader criteria than those in the annex, tailored to their specific AMA.

7. Cost-Benefit Analysis

• The implementation of the guidelines is expected to result in low one-off costs for institutions and competent authorities.
• Clear communication rules are expected to reduce case-by-case decisions and improve the efficiency of the home-host coordination process.
• The guidelines do not have a significant impact on the EU economy or individual member states.

Conclusion

GL 45 provides a structured and harmonised approach for institutions using AMA to communicate and implement changes or extensions to their operational risk models. It ensures legal certainty, facilitates smoother supervisory processes, and supports the evolution of AMA across the EU. The guidelines do not impose new modelling requirements but focus on the approval and notification procedures, with a final classification of changes based on their materiality.