Public consultation on the revised ECB Guide to internal models

In the revised version under consultation, the Guide clarifies how banks should go about including material climate-related and environmental risks in their models. It also provides clarifications for banks that wish to revert to the standardised approach for calculating their risk-weighted assets. Specifically on credit risk, the guide helps all banks to move towards a common definition of default and a consistent treatment of massive disposals. The update of the market risk chapter details how to measure default risk in trading book positions. The Guide also provides clarifications regarding counterparty credit risk, which is the risk that the counterparty to a transaction could default.

Deadline for submitting comments: midnight CET on 15 September 2023.

Only comments received before this deadline will be considered.

Submit your comments by midnight CET on 15 September 2023 using this template.

So that comments can be processed automatically, please do not change the template structure or the file format. Where appropriate, please provide relevant examples or data.

Only comments sent using the above template will be published after the close of this public consultation.

Submitting comments by email:

Using the above template, send your comments to: SSMPublicConsultation@ecb.europa.eu.

In the subject line, please write “Public consultation on the revised Guide to internal models”.

Submitting comments by post:

Using the above template, send your comments to:

European Central Bank Secretariat to the Supervisory Board
“Public consultation on the revised Guide to internal models”
60640 Frankfurt am Main
Germany

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