CRR: RTS on data waiver permissions for IRB approach published in Official Journal

The RTS set out the conditions according to which competent authorities may grant permission to institutions to use relevant data covering a two year period rather than a five year period for the probability of default, own-loss given default and own-conversion factor estimates for certain types of exposures when they implement the internal ratings based (IRB) approach. Due to the EBA's recognition of increased uncertainty of the estimation of risk parameters that result from the use of a short data history, the RTS introduce conditions to limit the use of the data waiver. Moreover, the waiver would not be allowed after five years have elapsed from the initial permission granted to an institution.

The RTS will enter into force on 3 February 2017.