EBA · 2024_7253 Rejected question

Requirement for approval for IRB-implementation of acquired portfolios

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
143, para. 3
Topic
Other issues
Submitted by
Consultancy firm
Submitted
2024-11-19
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Question

May the acquisition of a portfolio of exposures, within the range of application of the IRB-system of an institution, be subject to requirement of approval due to triggering of the quantitative impact rule in (EU) 529/2014 article 4?

Background

A client IRB bank acquired a portfolio from a “standard method bank” consisting of the exact same type of exposures covered by the IRB-application. This is not a material change to the IRB-approach, subject to sufficient documentation of comparability and representativeness (EU 529/2014 Annex 1, Part 1, Section 1, pkt. 1-c). The question is whether materiality could still be triggered by the quantitative impact rule, due to effects of the transition from the standard method to the IRB-method for the acquired portfolio?  The competent authority is of the opinion that any acquired exposures will be subject to requirements for supervisory approval if the quantitative backstop is triggered, even if there is no doubt that the exposures are identical to exposures already covered by the IRB-system. This causes challenges for the institution because the CA and the institution do not agree on the timeline for the review process.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7253

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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