ECB is consulting on the first chapter of the guide to internal models for the banks it directly supervises. The consultation on the first chapter of the guide ends on May 28, 2018 while ECB plans to consult on additional chapters of guide at later stage. ECB also published a list of frequently asked questions related to the draft guide to internal models.
The first chapter of the guide covers general topics. It contains principles for non-model-specific topics, particularly the internal ratings-based (IRB) approach, including overarching principles for internal models, implementation of the IRB approach, internal model governance, internal validation, internal audit, model use, model change management, and third-party involvement. ECB plans to make this document available in other languages on April 18, 2018. The complete guide will also include model-specific chapters for credit, market, and counterparty credit risks.
The guide was drafted in close cooperation with the national competent authorities and draws on the experience gained in the context of the targeted review of internal models (TRIM) project. A preliminary version of the guide was made available on February 28, 2017 and has been refined on the basis of the feedback received from institutions. This revised version also takes into account the outcomes of the reviews and horizontal analyses on general topics performed as part of the TRIM project. The guide is intended to ensure a common and consistent approach to the most relevant aspects of the applicable regulation on internal models for banks directly supervised by the ECB.
Related Link: Consultation on Guide to Internal Models
Comment Due Date: May 28, 2018
Keywords: Europe, EU, Banking, Internal Models, IRB Approach, TRIM, ECB
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
APRA is consulting on updates to ARS 210.0, the reporting standard that sets out requirements for provision of information on liquidity and funding of an authorized deposit-taking institution.
FED released hypothetical scenarios for a second round of stress tests for banks.
FED is proposing to temporarily revise the capital assessments and stress testing reports (FR Y-14A/Q/M) to implement the changes necessary to conduct stressed analysis in connection with the re-submission of capital plans, using data as of June 30, 2020.
FED adopted a proposal to extend for three years, with revision, the information collection under the market risk capital rule (FR 4201; OMB No. 7100-0314).
EBA published a voluntary online survey seeking input from credit institutions on their practices and future plans for Pillar 3 disclosures on the environmental, social, and governance (ESG) risks.