Featured Product

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

    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 Articles
    News

    APRA Decides to Keep Countercyclical Capital Buffer for Banks at 0%

    APRA announced its decision to keep the countercyclical capital buffer (CCyB) for authorized deposit-taking institutions on hold at zero percent.

    December 11, 2019 WebPage Regulatory News
    News

    APRA Issues Operational Risk Rules, Consults on Reporting Requirements

    APRA published an updated prudential standard APS 115 that sets out operational risk requirements for authorized deposit-taking institutions in Australia.

    December 11, 2019 WebPage Regulatory News
    News

    EBA Issues Revised List of Validation Rules for Reporting by Banks

    EBA published a revised list of validation rules in its implementing technical standards on supervisory reporting.

    December 10, 2019 WebPage Regulatory News
    News

    SRB Holds Annual Conference, Reflects on Turning Policy into Action

    SRB published a report on its fourth annual conference that was held on October 10, 2019 in Brussels.

    December 10, 2019 WebPage Regulatory News
    News

    OSFI Sets Domestic Stability Buffer Level at 2.25%

    OSFI has set the Domestic Stability Buffer, or DSB, at 2.25% of total risk-weighted assets, with effect from April 30, 2020.

    December 10, 2019 WebPage Regulatory News
    News

    FED Extends Consultation Period for Capital Requirements for Insurers

    FED is extending comment period for the proposed rule establishing risk-based capital requirements for depository institution holding companies that are significantly engaged in insurance activities.

    December 10, 2019 WebPage Regulatory News
    News

    FSB Examines Financial Stability Aspects of Bigtech and Cloud Services

    FSB published two reports that consider the financial stability implications from the offering of financial services by bigtech firms and the adoption of cloud computing and data services across a range of functions at financial institutions.

    December 09, 2019 WebPage Regulatory News
    News

    HKMA Proposes Changes to Module on Supervision of Concentration Risk

    HKMA issued a circular proposing revisions to the Supervisory Policy Manual module CR-L-1 on consolidated supervision of concentration risks under the Banking (Exposure Limits) Rules (BELR) Rule 6.

    December 09, 2019 WebPage Regulatory News
    News

    BoE Updates XBRL Filing Manual for Reporting Under Solvency II

    BoE has updated the XBRL filing manual (to Version 5.0) to help firms and software vendors create XBRL instance documents for Solvency II Pillar 3 and BoE Insurance reporting.

    December 09, 2019 WebPage Regulatory News
    News

    APRA Specifies Capital Treatment of Equity Investments in ABGF

    APRA published a letter to the authorized deposit-taking institutions outlining the regulatory capital treatment of their equity investments in the Australian Business Growth Fund (ABGF).

    December 09, 2019 WebPage Regulatory News
    RESULTS 1 - 10 OF 4301