CP10 (Full Document) - European Banking Authority

58. Institutions intending to move to an AMA or IRB approach are
expected to prepare a meaningful implementation plan (including
roll­out), and to submit it to the supervisor as part of the application
pack. The implementation plan is a binding description of the
institution’s own implementation dates for all of the rating systems
and operations for which it is seeking approval to use the AMA or IRB
approach. It is an essential part of the application. The terms
‘implementation plan’ and ‘roll­out plan’ are sometimes used
synonymously by the industry and supervisors. However, Article 85
refers only to ‘implementation,’ and there is a common
understanding among supervisors that there is a difference in terms
of the time period covered. ‘Roll­out plan’ refers to the time after the
initial approval has been granted, whereas ‘implementation plan’ also
covers the time prior to an approval. The roll­out period is thus
shorter than, but a complete subset of the implementation period.
59. The implementation plan (including Roll­out) for IRB must be broken
down at least by supervisory exposure classes, business units, and, if
applicable, any IRB parameters that need to be estimated. Internal
rules with detailed provisions regarding time and content are to be
laid down for combinations of the above, in particular for the
following:
· Development of the rating methodology.
· Preparation of the technical concept for IT implementation of the
rating methodology.
· IT implementation.
· Training of staff, including management staff.
· Transition from the existing rating system to the new system on
the basis of current business, if a transition is made.
· Formal internal acceptance of the new rating system and
implementation as ‘the’ rating system of the institution.
60. In addition, a list of all the portfolios which are to be permanently
exempted from the IRB Approach is to be provided. The exempted
portfolios should be quantified comprehensively (e.g., number of
material counterparties, gross credit volume, credit aggregates in the
exposure value and Risk­Weighted Exposure Amounts, risk content).
61. As far as the implementation plan (including roll­out) for AMA is
concerned, internal rules with detailed provisions regarding time and
content are to be laid out for the following:
o Development of operational risk management processes, in
particular for data collection.
o Development of the measurement methodology.
o Implementation of the IT infrastructure which is used for
operational risk management and measurement purposes.
o Training of staff, including management staff.
o The ‘use test.’
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