1. An institution may use an approach to capturing incremental default and migration risks that …

An institution may use an approach to capturing incremental default and migration risks that does not comply with all the provisions of Annex II Paragraph 3 of Directive 2010/76/EU (referred to as a „not fully compliant IRC approach‟ in the remainder of this section):

• i. when this not fully compliant IRC approach is consistent with the institution‟s internal methodologies for identifying, measuring and managing risks;
• ii. and when the institution is able to demonstrate that its approach results in a capital requirement that is at least as high as if it was based on an approach in full compliance with all IRC requirements.

1. Overview

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

3. Related Standards

• EBA - Published by the European Banking Authority at https://www.eba.europa.eu/