Regulatory Alerts2021-10-20
Added · Updated
Commission Delegated Regulation (EU) 2022/439 on regulatory technical standards for the assessment of compliance with the Internal Ratings Based Approach
The European Commission adopts regulatory technical standards specifying the assessment methodology competent authorities must follow when evaluating the compliance of credit institutions and investment firms with the Internal Ratings Based Approach. The regulation mandates that authorities verify specific criteria, including the use test, experience test, rating system validation, and the independence of the validation function. It establishes concrete requirements such as annual performance reviews for material portfolios, a three-year history for the experience test, and conservative adjustments for ratings older than 12 months. These rules apply to all assessments of IRB compliance, including initial applications, material changes, and ongoing reviews.