Response to consultation on Regulatory Technical Standards that specify material changes and extensions to the Internal Ratings Based approach
Question 1. Do you have any comments on the clarification of the scope of the revised draft regulatory technical standards to specify the conditions for assessing the materiality of the use of an existing rating system for other additional exposures not already covered by that rating system and changes to rating systems under the IRB Approach?
NA
Question 2. Do you have any comments on the clarifications and revisions made to the qualita-tive criteria for assessing the materiality of changes as described in the Annex I, part II, Section 1 and Annex I, part II, Section 2?
NA
Question 3. Do you have any comments on the clarifications and revisions made to the qualita-tive criteria for assessing the materiality of extensions and reductions as described in the Annex I, Part I, Section 1 and Annex I, Part I, Section 2?
NA
Question 4. Do you have any comments on the introduced clarification on the implementation of the quantitative threshold described in Article 4(1)(c)(i) and 4(1)(d)(i)?
NA
Question 5. Do you have any comments on the revised 15% threshold described in Article 4(1)(d)(ii) related to the materiality of extensions of the range of application of rating systems?
NA
Question 6. Do you have any comments on the documentation requirement for extensions that require prior notification?
Based on paragraph 31 adding a reference to Article 144(1)(g) of Reg. 575/2013 to Article 3(5) of RTS, EBA aims to clarify that institutions should have conducted the preparatory work for the IT implementation of the rating system to be able to submit the reporting as required by Article 430 of Reg. 575/2013. In other words, institutions are required to be able to report accordingly under COREP based on the approved extension or change from the date specified in the new permission.
The reference of Article 144(1)(g) leads to consider that also the prescriptions reported in "RTS for the specification of the assessment methodology competent authorities are to follow when assessing the compliance of credit institutions and investment firms with the requirements to use the Internal Ratings Based Approach" should be complied. In particular art.67(4) of the mentioned RTS states that the competent authority, during the assessment, request the institution to perform a live computation of the own funds requirements for certain types of exposures.
With these recitals in mind, it is not clear if the readiness of IT to submit the reporting as required by Article 430 of Reg. 575/2013 should be ensured: a) from the date specified in the new permission, b) from the start of the CA assessment or c) at the submission of extensions and changes request.