Schlagwort: TRIM

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Supervisory measures in reaction to the Corona crisis – Operational reliefs

The following blog post is part of the overview of supervisory measures in reaction to the Corona crisis:Supervisory measures in reaction to the Corona crisis – Overview.

Operational reliefs

The most prominent decision taken by the BCBS in light of the COVID-19 crisis is obviously the revised timeline for implementing the final Basel III package (i.e. “Basel IV”). The general starting point is now postponed from 2022 to 2023, hoping that banks still have the chance to adapt to the new requirements in an appropriate manner despite the current circumstances. This will also apply in the European Union which has postponed the publication of a first CRR III draft to implement Basel IV in the Union that had been expected by mid-of-2020. In the same vein, the EBA In a statement on additional supervisory measures in the COVID-19 pandemic related to market risk declared that the reporting requirement for the new Fundamental Review of the Trading Book (FRTB) standardised approach will also be postponed. CRR II required banks exceeding certain thresholds to start reporting on the new market risk calculations in the first quarter of 2021. Now, the EBA proposes to postpone this reporting requirement to the third quarter of 2021.

One of the first measures taken by the EBA to reduce the operational burden of banks in the light of the Corona crisis was to postpone the EU-wide stress test from 2020 to 2021 (see EBA statement as of March 12, 2020). To support banks’ focus on key operations and to limit any non-essential requests in the short term, the EBA has reviewed all ongoing activities requiring inputs from banks in the next months and decided to extend or postpone several deadlines. Please find below a detailed list of changes (click to enlarge):

In addition, according to the EBA statement as of March 31, 2020, further operational reliefs will be granted in terms of supervisory reporting and disclosures. According to the EBA, competent and resolution authorities should assess the extent to which a delayed submission of all the data or subsets of the data included in the EBA reporting framework would be justified in these extraordinary circumstances. For the time being, such supervisory actions are only being considered for submissions due between March and end of May 2020. In general, institutions should be allowed up to one additional month for submitting the required data. Each competent and resolution authority should clarify the precise terms for institutions in their jurisdiction. However, due to their importance for the supervisory authorities, the reportings of the LCR, the additional liquidity monitoring metrics (AMM) and the information on the institution’s liability structure, including intra-group financial connections (part of the resolution planning reporting) should still be reported in accordance with the deadlines specified in the applicable reporting standard. Further, the EBA clarifies that despite the current circumstances the reporting in accordance with the new data point model version 2.9 should still start with the reference date 31 March 2020.

Implications for ECB regulated banks currently engaged with their IRB Repair Programme

For many banks, the TRIM reports of the inspection ECB teams revealed many findings in the last two years. And the banks have received in return time to prepare their remediation plans. These plans usually have accommodated several remediation actions so that banks might be able to keep their IRB status going forward. The plans were in length discussed with the JST and in most cases were tied up to some deadlines; i.e. for several banks there were need for the redevelopment of the LGD models, where new components had to be incorporated. In most cases, banks were held to keep higher capital for their IRB portfolios under the remediation programme as their IRB risk parameters were not necessarily fully in compliance due to the TRIM findings, and expectedly this capital add-ons were only to be lifted once the full remediation took place. Such model redevelopments naturally require extensive new data collection, where the data should be tempered and aligned with the New Default Definition requirements. Such actions take significant time and require several internal sources in the bank work closely in coordination. Under the current circumstances as many bank risk resources will be working remotely from home and will not have the chance to meet frequently with their team members as during the normal times. Due to this it would be not possible for the bank to achieve a certain level of efficiency to be prepared to fulfill the tasks for the committed deadlines along the remediation plans that had been already agreed with the JSTs of the respective banks regulated directly with the ECB.

Happy Birthday – 10 Jahre Regulatory Blog!

 

Liebe Leserinnen und Leser,

Ende November 2009 sind wir mit unserem Regulatory Blog gestartet – damals für uns noch ein recht neues Medium und daher auch ein kleines Experiment mit ungewissem Ausgang. Der Trend zur zunehmenden Nutzung elektronischer Informationswege und die damit verbundene Veränderung der Kommunikationswege hatten uns bewogen, mit dem Regulatory Blog eine flexible und reaktionsschnelle Plattform mit großer Reichweite zu schaffen. Wir wollten mit unserem Regulatory Blog über regulatorische Änderungen und Reformen kurz, prägnant und zeitnah informieren – und tun dies mittlerweile kontinuierlich seit zehn Jahren. Ein kurzer Rückblick auf einige der Meilensteine sei daher erlaubt:

IRB 2.0

The new regulatory regime that we call Basel IV, will be introducing some updates to the old internal ratings-based approach (IRB) framework. Clearly, several new requirements introduced into this new framework including the output threshold, which would need to be measured against the risk-weighted assets (RWAs) by the New Standardized Approach for the sake of setting up the threshold maximum at 72,5% as for the measured total RWAs.

Der IRB-Ansatz 2.0

Die neuen Bankaufsichtsrechtlichen Vorgaben, in der Branche als „Basel IV“ bekannt, sehen zahlreiche Änderungen an dem auf internen Ratings basierenden Ansatz (IRBA) vor, der durch Basel II in 2007 eingeführt wurde. Die wichtigste Neuerung betrifft die Einführung eines Output-Floors, wonach die Kapitalanforderungen gemäß des IRB-Ansatzes auf mindestens 72,5% der RWA, gemessen mittels der Standardansätze, nach unten hin begrenzt sind.

Basel IV Channel – Episode 5: Constraints on the use of Internal Models: Basel und EBA / ECB

Nachdem wir in den vorangegangenen Ausgaben des Basel IV Channel am 13. Mai und 17. Juni 2016 die Neuerungen bei den Marktrisiken vorgestellt haben, wenden wir uns im 5. Basel IV Channel erneut dem Kreditrisiko zu. Diesmal stehen die Qualität Interner Modelle und die Zukunft des Internal Rating Based Approach (IRBA) im Fokus unseres kommenden Basel IV Channels. 

Der Baseler Ausschuss für Bankenaufsicht hat im März 2016 Änderungsvorschläge zum Internal Rating Based Approach (IRBA), sowohl bzgl. des fortgeschrittenen (A-IRB) als auch des Basis-IRB (F-IRB)veröffentlicht („Reducing variation in credit risk-weighted assets – constraints on the use of internal model approaches“ – Consultative Document BCBS 362). Ziel dieser Vorschläge ist es, die Qualität der Internen Modelle zu stärken. Die gleich Zielrichtung – wenn auch mit anderen Mitteln – verfolgen die bereits länger bekannten Pläne der European Banking Authority (EBA) „Future of the IRB Approach“.
Und last but not least hat die Europäische Zentralbank (EZB) im Rahmen des Single Supervisory Mechanism mit
dem Targeted Review of Internal Models (TRIM) ein mehrjähriges Überprüfungsverfahren für  interne Modelle angekündigt.  

Die aus diesen Initiativen folgenden Neuerungen sind Thema unseres nächsten Termins am:

15. Juli 2016

Constraints on the use of Internal Models: Basel (BCBS 362) und EBA / ECB 

Wir laden Sie herzlich ein, sich kostenfrei und unverbindlich zu dem genannten Termin anzumelden. Hier geht es direkt zur Anmeldeseite für unseren Basel IV Channel. (Alle Teilnehmer der vorherigen Veranstaltungen erhalten automatisch eine Einladung per E-Mail). Bitte melden Sie sich unter dem Menüpunkt „Anmeldung“ bis spätestens einen Tag vor dem jeweiligen Termin an. Sie werden live durch die Veranstaltung geführt. Der Channel wird ca. 15 bis 30 Minuten dauern.

Im August macht der Basel IV Channel eine Sommerpause. Wir wünschen Ihnen eine erholsame Ferienzeit und begrüßen Sie im September wieder mit einem neuen Thema im Basel IV Channel.

Sie haben den letzten Basel IV Channel verpasst ? Hier können Sie die Aufzeichnung aller bisherigen Webinars nachträglich anschauen. Alle Webinars dieser Reihe finden Sie in unserem PwC Basel IV Channel auf Youtube.com.

Wir freuen uns, Sie zu unserem nächsten Termin begrüßen zu dürfen!

Herzlichst Ihr Martin Neisen,

Global Basel IV Leader

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