Final Guidelines on Credit Risk Mitigation for Institutions applying the IRB approach with own estimates of LGDs
The European Banking Authority (EBA) has published its final Guidelines on credit risk mitigation (CRM) in the context of the advanced internal ratings-based (A-IRB) approach (Guidelines).
These Guidelines, which are part of the EBA’s regulatory review of the IRB approach, aim to eliminate the remaining significant differences in approaches in the area of CRM, which are due to either different supervisory practices or bank-specific choices.
The Guidelines clarify the application of the CRM provisions currently laid down in the Capital Requirements Regulation applicable to institutions using the A-IRB Approach.
The Guidelines will become effective on January 1, 2022, following the EBA’s extra one-year extension to align with the proposal of the EBA progress Report on the IRB roadmap.
Additional details are available here.
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