General Information & Client Service
  • Americas: +1.212.553.1653
  • Asia: +852.3551.3077
  • China: +86.10.6319.6580
  • EMEA: +44.20.7772.5454
  • Japan: +81.3.5408.4100
Media Relations
  • New York: +1.212.553.0376
  • London: +44.20.7772.5456
  • Hong Kong: +852.3758.1350
  • Tokyo: +813.5408.4110
  • Sydney: +61.2.9270.8141
  • Mexico City: +001.888.779.5833
  • Buenos Aires: +0800.666.3506
  • São Paulo: +0800.891.2518
December 15, 2017

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

OCC Consults on Amendments to the Stress Testing Rule

OCC issued a proposed rule on the company-run stress testing requirements for national banks and Federal savings associations.

December 18, 2018 WebPage Regulatory News
News

ESAs RTS to Extend Treatment of Covered Bonds to STS Securitization

ESAs published two joint draft regulatory technical standards (RTS) to amend the RTS on the clearing obligation and risk mitigation techniques for non-cleared OTC derivatives.

December 18, 2018 WebPage Regulatory News
News

APRA Authorizes New Restricted Authorized Deposit Taking Institution

APRA announced that it has authorized Xinja Bank Limited as a restricted authorized deposit-taking institution (Restricted ADI) under the Banking Act 1959.

December 18, 2018 WebPage Regulatory News
News

EBA Consults on Amendment to Rule on Benchmarking of Internal Models

EBA published a consultation to amend the Commission Implementing Regulation (2016/2070) on benchmarking of internal models to adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise it will carry out in 2020.

December 18, 2018 WebPage Regulatory News
News

US Agencies Propose Derivative Counterparty Credit Exposure Framework

US Agencies (OCC, FED, and FDIC) proposed to implement a new approach for calculating the exposure amount of derivative contracts under the regulatory capital rule.

December 17, 2018 WebPage Regulatory News
News

HKMA Announces Intention to Consult on Updated BCBS Disclosure Rules

HKMA announced that it will consult the industry in due course on the relevant implementation proposal to give effect to the disclosure requirements of the December 2018 package by BCBS.

December 17, 2018 WebPage Regulatory News
News

EBA Finalizes Guidelines on Disclosure of Non-Performing Exposures

EBA published the final guidelines on disclosure of non-performing and forborne exposures.

December 17, 2018 WebPage Regulatory News
News

BDF Issues Validations and Supporting Documents on AnaCredit Reporting

BDF updates the validations (controls) and supporting documents for AnaCredit reporting, including the “Framework for Financial Institutions and Public Administrations."

December 17, 2018 WebPage Regulatory News
News

HKMA Issues and Revises Reporting Forms Under the IRRBB Framework

HKMA issued a revised version of the Supervisory Policy Manual (SPM) IR-1, with an updated title “Interest Rate Risk in the Banking Book” (IRRBB).

December 14, 2018 WebPage Regulatory News
News

EBA Single Rulebook Q&A: Second Update for December 2018

EBA published answers to six questions under the Single Rulebook question and answer (Q&A) updates for this week.

December 14, 2018 WebPage Regulatory News
RESULTS 1 - 10 OF 2351