ECB Seeks Feedback on Guide for Assessment of IMMs for Calculating CCR

The guide should not be construed as going beyond the current applicable EU and national law and, therefore, is not intended to replace, overrule or affect applicable EU and national law. Under the Capital Requirements Regulation (CRR), financial institutions can use the IMM for CCR and the A-CVA when calculating capital requirements. These internal models focus on over-the-counter derivatives contracts and securities financing transactions, as—unlike with traditional loans—the exposures related to these products can vary during their term and, therefore, need to be calculated  differently. The output of these models is one input parameter in the calculation of a bank’s Pillar 1 capital requirements. The guide addresses the supervisory assessment methodology for initial approvals, along with the changes to, and extensions of, internal models used by banks to calculate capital requirements for CCR. The guide will be finalized following another call for feedback in 2018.

Related Link: Press Release and Draft Guide

Comment Due Date: March 31, 2018

Keywords: Europe, EU, Banking, IMM, CCR, Credit Risk, A-CVA, ECB