Bank of Russia continues to issue permissions to use internal ratings-based approach for credit risk assessment

The regulator has permitted АО ALFA-BANK to use banking methodologies to manage credit risk and quantitative models to estimate credit risk using the internal ratings-based (IRB) approach to calculate capital adequacy ratios.

The permission will come into force on 31 July 2021 after AO ALFA-BANK has adopted the decision to use these methodologies. Initially, the bank will have the right to use these models to implement the IRB approach with regard to credit claims on legal entities which were included in the bank's application. In line with the Phased-out Transition Plan, AO ALFA-BANK will transfer the remaining credit claim segments to the IRB approach. These will not include assets, whose credit exposure AO ALFA-BANK will continue to calculate using the standardised approach. Thus, AO ALFA-BANK will become the third Russian bank possessing the Bank of Russia’s permission to apply the IRB approach.

In 2021, one more systemically important credit institution plans to apply for the permission to implement this approach. This process points to a high degree of readiness among Russian systemically important banks to adopt advanced and modern risk assessment models. This will in turn enable the Bank of Russia to consistently introduce internationally accepted standards for capital adequacy assessment elaborated by the Basel Committee on Banking Supervision, as set out in Basel III Accord, into the Russian regulatory environment.

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29.06.2021 00.00.00