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

    EBA Provides Clarity on Implementation of Certain COVID-19 Policies

    EBA published a report on the implementation of selected COVID-19 policies within the prudential framework for banking sector.

    July 07, 2020 WebPage Regulatory News
    News

    BCBS Report Examines Progress on Adoption of Basel III Framework

    BCBS published the eighteenth progress report on implementation of the Basel III regulatory framework in member jurisdictions.

    July 06, 2020 WebPage Regulatory News
    News

    BCBS Amends Guidelines on Sound Management of AML/CFT Risks

    BCBS amended the guidelines on sound management of risks related to money laundering and financing of terrorism (ML/FT).

    July 02, 2020 WebPage Regulatory News
    News

    US Agencies Finalize Amendments to Swap Margin Rule

    US Agencies (Farm Credit Administration, FDIC, FED, FHFA, and OCC) finalized changes to the swap margin rule to facilitate implementation of prudent risk management strategies at banks and other entities with significant swap activities.

    July 01, 2020 WebPage Regulatory News
    News

    PRA Letter Sets Expectations on Approach to Managing Climate Risks

    PRA published a letter that builds on the expectations set out in the supervisory statement (SS3/19) on enhancing banks' and insurers' approaches to managing the financial risks from climate change.

    July 01, 2020 WebPage Regulatory News
    News

    EBA Guidelines on Treatment of Structural Foreign Exchange Under CRR

    EBA finalized the guidelines on treatment of structural foreign-exchange (FX) positions under Article 352(2) of the Capital Requirements Regulation (CRR).

    July 01, 2020 WebPage Regulatory News
    News

    FSB Issues Statement on Impact of COVID-19 Crisis on Benchmark Reform

    FSB published a statement on the impact of COVID-19 pandemic on global benchmark transition.

    July 01, 2020 WebPage Regulatory News
    News

    IAIS Publishes List of Internationally Active Insurance Groups

    IAIS published the list of Internationally Active Insurance Groups (IAIGs) publicly disclosed by group-wide supervisors.

    July 01, 2020 WebPage Regulatory News
    News

    FED Temporarily Revises FR Y-9C With Respect to PPPLF and CARES Act

    FED has temporarily revised the reporting form on consolidated financial statements for holding companies (FR Y-9C; OMB No. 7100-0128).

    July 01, 2020 WebPage Regulatory News
    News

    EC Launches Consultation on Review of Solvency II Directive

    EC launched a consultation on the review of the key elements of Solvency II Directive, with the comment period ending on October 21, 2020.

    July 01, 2020 WebPage Regulatory News
    RESULTS 1 - 10 OF 5433