On 5 November 2021, the European Banking Authority (EBA) published its final draft Regulatory Technical Standards (RTS) specifying the types of factors and conditions to be considered for the assessment of the appropriateness of risk weights and of minimum loss given default (LGD) values. These final draft RTS will support relevant authorities across EU Member States in carrying out their periodical assessments by striking the right balance between ensuring coherence and harmonisation of their assessments and preserving the necessary flexibility.
The final draft RTS have been developed according to Articles 124(4) and 164(8) of the Capital Requirements Regulation (CRR), which mandates the EBA to develop, in close cooperation with the European Systemic Risk Board (ESRB), draft RTS to specify the types of factors to be considered for the assessment of the appropriateness of the risk weights referred to in the first subparagraph of paragraph 2 of Article 124 of the CRR; and the conditions that the authority designated by the Member State shall take into account when assessing the appropriateness of minimum LGD values as part of the assessment referred to in paragraph 6 of Article 164 of the CRR. Given the similar nature of the mandates laid down in Articles 124 (4) and 164 (8) of the CRR, these final draft RTS deliver on both mandates.
The draft RTS will enter into force on the twentieth day following their publication in the Official Journal of the EU.