[PDF] Guide for the Targeted Review of Internal Models (TRIM)

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February 2017

Dear Members of the Management Body,

As announced in the invitation you have received on 6 February 2017 for the conference on the Targeted

Review of Internal Models (TRIM) organised by the ECB on 28 February 2017, we are pleased to share with

you the current version (February 2017) of the guide to TRIM.

This guide . It further spells out how the ECB

intends to interpret the relevant EU law on internal models for credit, market and counterparty credit risks and

on general model governance topics. The aim pursued by the guide is to ensure a harmonised interpretation

and application of the existing legal framework as well as also ensuring close alignment with upcoming changes

in the regulation on internal models.

The guide to TRIM will be presented to the institutions in scope for TRIM during the conference on 28 February

2017 and will be made public consecutively via the ECB Banking Superivsion website. Until this publication, this

version shall not be shared with any other third party. We also invite you to provide feedback on this version of

the guide to TRIM in order to identify where further clarifications or reconsiderations of the defined principles

could be helpful. To that extent, you will find attached feedback templates for each chapter, including some

instructions. We kindly ask you to send back these feedback templates to TRIM_PMO@ecb.europa.eu

In particular, with regard to paragraph 18 in the chapter of the guide on counterparty credit risk, concerned

institutions are invited to propose examples of quantitative impact studies to estimate model risk for cases

where approximations or fall-backs are applied to transactions within (non-split) netting sets subject to the IMM,

since such impacts would be the base for an increase of the alpha parameter.

This version of the guide will be refined during the coming months based on the feedback received by the

institutions through this process and also taking into account the outcomes of the on-site assessments

performed during the TRIM on-site investigations, the results of horizontal analyses on peer groups and the

latest regulatory developments. Before finalisation of the guide, a formal public consultation will be launched for

each risk type.

Yours sincerely,

[signed]

Korbinian Ibel

Director General - DG Microprudential Supervision IV

Guide for the Targeted

Review of Internal Models

(TRIM)

February 2017

For any future reference,

please use the most recent version.

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