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Credit Analytics
EBA ROADMAPS - Overview
ROADMAP FOR IFRS 9 DELIVERABLES
The EBA is scrutinising the effective implementation of
International Financial Reporting Standard 9 (IFRS 9) in the European Union
IFRS 9
IFRS 9 quantitative monitoring
Extension of the ITS on benchmarking to HDPs for IFRS 9 purpose
Publication of some selected indicators in the EBA Risk Dashboard at aggregated country level and on a quarterly basis
Integration of the SA /smaller institutions
into the quantitative part of the benchmarking exercise
Qualitative questionnaire launch in July 2019 until November 2019
Quantitative monitoring
IFRS 9 reporting template included in the ITS for 2021
Phase 1: H1 2020
Phase 2: Not before 2021
Phase 3: not before 2021
IFRS 9 qualitative monitoring
Monitoring of IFRS 9 implementation by EU institutions (medium-/long-term impact)
Follow-up on the EBA Guidelines on expected credit losses and EBA Guidelines for communication between
supervisors and auditors in the context of IFRS 9
Monitoring of IFRS 9 implementation by
EU institutions, e.g. EBA report "First observations on the impact and implementation of IFRS9 by EU institutions" 20 DEC 2018.
Qualitative monitoring
Ongoing monitoring of IFRS 9
transitional provisions
Phase 1: 2016 - 2018
Phase 2: Q3/Q4 2020
Phase 2: Not Known
Goals of the roadmap
a) reviewing the
regulatory setting
of the IRB
approach;
b) ensuring
supervisory
consistency; and
c) increasing
transparency
based on
standardised and
comparable
templates.
IRB
Status approval Technical standards for the IRB assesment methdology
Phase 1: IRB assesment methodology
RTS under Articles 144(2), 173(3) and 180(3b) on the assessment methodology
- Planned Q1 2016
- Finalised Q2 2016
- Awaiting endorsement by the commission
Status New Definition of Default
Phase 2: Definition of Default
RTS under
Article 178(6) on the materiality
threshold for past due credit
obligations GL under Article 178(7) on the Currently in force
application of the definition of
default
- Planned mid-2016
- Finalised Q3 2016
- Currently in force
Status RTS and GL on risk parameter estimation and treatment of defaulted assets
Phase 3: New RTSs and GLs for IRB approach
RTS Economic Downturn
- Planned mid-2017
- Finalised Q4 2018
- Awaiting endorsement by the comission
Guidelines on LGD dowturn calibration
- Not scheduled
- Finalised Q1 2019
Guidelines on PD and LGD estimattions
- Planned mid-2017
- Finalised Q4 2017
- Currently in force
Status RTS and GL on credit risk migration
Phase 4: Credit Risk Migration
The following RTSs were planned for end 2017 but have been indefinitly postponed
- Recognition of conditional guarantees [article 183(6)]
- Liquid assets [article 194(10)]
- Master netting agreements [Article 221(9)]
EBA/GL/2020/05 Guidelines
on credit risk mitigation for institutions applying the IRB approach
with own estimates of LGDs
- Planned Q1 2020
- Finalised Q2 2020