11 March 2013

EBA consults on conditions for assessing materiality of extensions and changes of internal approaches for credit, market & operational risk

The EBA launched a consultation on draft RTS aimed at specifying the conditions for assessing the materiality of extensions and changes to internal approaches when calculating own funds requirements for credit, market and operational risk. Deadline for comments is 11 June, 2013.

The draft Capital Requirements Regulation (CRR) contains, among others, mandates for the EBA to develop draft Regulatory Technical Standards (RTS) to specify the conditions for assessing the materiality of extensions and changes of internal approaches when calculating own funds requirements for credit, market and operational risk.

As the CRR is still in a draft form at the time of publishing of this draft RTS, following the end of the consultation period, and to the extent that the final text of the CRR changes before the adoption of the RTS, the EBA will adapt the draft RTS accordingly to reflect any developments.

All institutions shall apply for permission whenever they intend to implement any material extension and change to their internal approaches. In this respect, the proposed RTS aim at harmonising the assessment of the materiality of extensions and changes to their internal approaches and to ensure that their approved internal approaches comply with the regulatory requirements. In particular, these RTS specify the conditions for assessing the materiality of extensions and changes to:

• the Internal Rating Based approach (IRB approach) for credit risk;
• the Advanced Measurement Approach (AMA) for operational risk;
• the Internal Models Approach (IMA) for market risk.

The proposed consultation paper is based on the draft Capital Requirements Regulation (CRR) as per the European Commission’s proposals of 20 July 2011 and takes into account all the major changes subsequently introduced by the Council and the EU Parliament during their negotiations.

Following the end of the consultation period, and to the extent that the final CRR text changes before the adoption of the RTS, the EBA will adapt the draft RTS accordingly to reflect any developments.

Comments can be sent to the EBA by 11 June 2013. A public hearing will take place at the EBA premises on 13 May 2013 from 14:00 to 16:00 GMT.

Press release

Full consultation paper

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