EBA publishes report on progress made on its roadmap to repair IRB models

09 July 2019

The roadmap aims to address the concerns about undue variability of own funds requirements and to restore trust in IRB models by ensuring comparability of the estimates of risk parameters, while retaining their risk sensitivity. This report marks the finalisation of the IRB regulatory review and provides clarity on the next steps.

The EBA's IRB roadmap was set up to:

• review the IRB regulatory framework,
• to ensure supervisory consistency, and
• to increase transparency.

The emphasis of the EBA's work has been mostly placed on the regulatory aspects, and this report marks the finalisation of the regulatory review of the framework, as set out originally.

The regulatory review, which includes all the EBA related guidelines and technical standards, is the result of an open and constructive dialogue with the industry and of a close cooperation with competent authorities.

This report addresses concerns of both parties with regard to the implementation timelines. In this respect, to allow for a high quality implementation, the EBA has decided to extend the deadline for introducing changes in the rating systems by one year, to the end of 2021.

In addition, considering the interactions with the final Basel III framework, published by the Basel Committee on Banking Supervision (BCBS) in December 2017, the EBA allowed for the changes in the loss given default (LGD) and conversion factors models for low default portfolios to be implemented by the end of 2023, at the latest.

Press release

Report

© EBA