ECB Seeks Feedback on Guide for Assessment of IMMs for Calculating CCR
ECB published the draft guide and the frequently asked questions (FAQ) on the assessment methodology for the internal model method (IMM) and the advanced credit valuation adjustment (CVA) capital charge for counterparty credit risk (CCR). The guide indicates how ECB Banking Supervision intends to assess internal models for CCR at directly supervised banks. It also aims to provide guidance to these institutions on their self-assessment of the IMM and the advanced method for credit valuation adjustment risk (A-CVA), drawing on the approaches already defined by EBA for other risk types. Industry feedback can be submitted until March 31, 2018.
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
Related Insights
|
News
FSB Report Examines Financial Stability Implications of FintechFSB published a report that assesses fintech-related market developments and their potential implications for financial stability.
February 14, 2019
WebPage
Regulatory News
|
|
News
US Agencies Amend Regulatory Capital Rule to Allow Phase-In for CECLUS Agencies (FDIC, FED, and OCC) adopted the final rule to address changes to credit loss accounting under the U.S. generally accepted accounting principles; this includes banking organizations’ implementation of the current expected credit losses (CECL) methodology.
February 14, 2019
WebPage
Regulatory News
|
|
News
OCC Consults on Company-Run Stress Test Requirements for BanksOCC proposed amendments to its company-run stress testing requirements for national banks and Federal savings associations, consistent with section 401 of the Economic Growth, Regulatory Relief, and Consumer Protection (EGRRCP) Act.
February 12, 2019
WebPage
Regulatory News
|
|
News
CFTC Extends Comment Periods for Trade Execution Requirement ProposalsCFTC announced that it is extending comment period for the proposed amendments related to the regulations on swap execution facilities (SEF) and trade execution requirement.
February 12, 2019
WebPage
Regulatory News
|
|
News
OCC Proposes to Renew Information Collection Under Stress Test RuleOCC is proposing to renew its information collection titled “Annual Stress Test Rule” (OMB Control No: 1557-0311). Comments must be received on or before March 13, 2019.
February 11, 2019
WebPage
Regulatory News
|
|
News
OSFI Consults on NSFR Disclosure Requirements for D-SIBsOSFI proposed the draft guideline on the net stable funding ratio (NSFR) disclosure requirements for domestic systemically important banks (D-SIBs).
February 11, 2019
WebPage
Regulatory News
|
|
News
EC Amends Its Regulation to Clarify Impairment Requirements for IFRS 9EC published the EU Regulation 2019/237 that amends Regulation (EC) No 1126/2008 adopting certain international accounting standards, in accordance with Regulation (EC) No 1606/2002 regarding International Accounting Standard (IAS) 28 on Investments in Associates and Joint Ventures.
February 11, 2019
WebPage
Regulatory News
|
|
News
FSB Chair Randal Quarles Speaks About the Upcoming Work of FSBWhile speaking at the BIS Special Governors Meeting in Hong Kong, Randal K. Quarles, the Chair of FSB and Vice Chair of FED, discussed his views on how the work of FSB must evolve and the key principles that, he believes, should inform that work.
February 10, 2019
WebPage
Regulatory News
|
|
News
OSFI Proposes to Amend the Liquidity Adequacy Requirements for BanksOSFI proposed revisions to the Liquidity Adequacy Requirements (LAR) Guideline for banks. OSFI published the proposed drafts (with proposed changes highlighted in yellow) of Chapters 1,2, 4, and 5 of the LAR guideline.
February 08, 2019
WebPage
Regulatory News
|
|
News
HKMA Publishes FAQs on Local Implementation of IRRBB FrameworkHKMA published the frequently asked questions (FAQs) related to the local implementation of the interest rate risk in the banking book (IRRBB).
February 08, 2019
WebPage
Regulatory News
|
