In 2016, the EBA outlined the schedule of the future regulatory development in the area of IRB approach. The goal was to reduce the variability of the models in order to easily compare the capital requirements across the institutions and in order to renew the reliance in IRB models. Creation of 10 documents was planned in total. On 9th July of the present year, EBA published report on progress in this area and on the next steps.
The implementation schedule has been revised. The changes concerning the process of default identification have to be implemented until the end of the year 2020 (no change comparing to the original plan), on the contrary, the rating systems changes have to be implemented 1 year later, i.e. by the end of 2021. Also, with regard to final Basel III framework, EBA prolonged the date of implementation of changes in LGD and CCF models for portfolios, where A-IRB approach won’t be applied according to the Basel III (typically low default portfolios) until the end of 2023.
Except the final publication of GL to CRM for A-IRB approach (the anticipated publication date is set to March 2020), EBA is not going to execute the revision of its own guidelines and instructions to IRB approach and is going to focus on the monitoring of models – whether the variability of the values of the risk-weighted exposures is decreasing.
23-8-2019