April 03, 2019

ECB issued a letter on an interim update on the Targeted Review of Internal Models (TRIM). The note enclosed in the letter provides an overview of the TRIM project and shares aggregated information on its outcomes. The note complements the analysis on credit risk internal models, presents key findings related to the data quality review, and reports the most common or critical shortcomings identified during TRIM investigations on internal models for market risk.

The note contains background information on the objectives and timeline of TRIM and provides a high-level summary of the main achievements of TRIM. The note also provides a more detailed overview of the key insights that have emerged so far from the horizontal analyses conducted within TRIM. Finally, it summarizes the next steps within the project, along with the implications for internal model supervision beyond TRIM. The note highlights that, during 2019, the TRIM project will approach finalization.

  • First of all, ECB guide to internal models is being revised to take into account the feedback received during the public consultation process for credit, market, and counterparty credit risk. The consolidated version of the guide is expected to be published in the first half of 2019.
  • Additionally, TRIM on-site investigations will continue throughout the year. They are planned to be completed in the second half of 2019, with the finalization of the investigations on models for low-default portfolios.
  • Finally, looking forward after the end of TRIM, the outcomes of the project will continue to play a key role in improving the standards and quality of significant institutions’ Pillar 1 internal models and the related environment for using and maintaining them.

The note subsumes and complements the information already shared with the institutions within the scope of the project on June 11, 2018. Going forward, the note may be updated and expanded as necessary to reflect additional analyses conducted in the meantime.

 

Related Link: ECB Letter (PDF)

 

Keywords: Europe, EU, Banking, Internal Models, TRIM, Credit Risk, Market Risk, Counterparty Credit Risk, ECB

Related Articles
News

APRA Releases Minor Changes to Reporting Standards on SA-CCR for Banks

APRA released minor changes to the three reporting standards for the standardized approach for measuring counterparty credit risk exposures (SA-CCR).

May 22, 2019 WebPage Regulatory News
News

APRA Proposes to Amend Guidance on Residential Mortgage Lending

APRA is consulting on revisions to the prudential practice guide APG 223 on residential mortgage lending in Australia.

May 21, 2019 WebPage Regulatory News
News

ESAs Amend Technical Standards on Mapping of ECAIs Under CRR

ESAs published a second amendment to the implementing technical standards on the mapping of credit assessments of External Credit Assessment Institutions (ECAIs) for credit risk under the Capital Requirements Regulation (CRR).

May 20, 2019 WebPage Regulatory News
News

OCC Consults on Information Collection for Home Mortgage Disclosures

OCC is soliciting comment on the revision of the information collection titled “Regulation C—Home Mortgage Disclosure.” OCC also notes that it has sent the collection to OMB for review.

May 20, 2019 WebPage Regulatory News
News

EIOPA Updates Q&A on Regulations in May 2019

EIOPA published additional questions and answers (Q&A) on guidelines, directives, and regulations applicable to insurers in Europe.

May 17, 2019 WebPage Regulatory News
News

FSB Publishes Update on Meeting of RCG for Americas

FSB published a summary of the meeting of its Regional Consultative Group (RCG) in Americas.

May 17, 2019 WebPage Regulatory News
News

ESRB Paper on Impact of Business Model Similarities on Risk Capture

ESRB published a working paper on whether information contagion and business model similarities explain bank credit risk commonalities.

May 17, 2019 WebPage Regulatory News
News

CBM Notifies ESRB and ECB on Imposing Borrower-Based Measures in Malta

CBM notified ESRB and ECB regarding its decision to impose borrower-based measures on lenders in Malta.

May 17, 2019 WebPage Regulatory News
News

IASB Issues Work Plan and Meeting Updates for May 2019

IASB published an updated work plan, along with the update of its meeting in May 2019.

May 17, 2019 WebPage Regulatory News
News

FCA Publishes Its Business Plan for the Coming Year

FCA published its Business Plan, which sets out the main areas of focus and priorities for 2019/20.

May 17, 2019 WebPage Regulatory News
RESULTS 1 - 10 OF 3103