Targeted Internal Model Review TRIM Targeted Internal Model Review

TRIM - Targeted Review of Internal Models 1 2 3 Objectives Process Results Restore credibility, adequacy and appropriateness of Pillar 1 Models Reduce non-risk variability of regulatory capital and promote consistency / comparability Improve model risk management practices 19 NCAs, 67Banks, +2500 models, +500 people involved 60% Credit EAD, Market and Counterparty 15% of the SSM budget 100 in-depth on-site reviews plus horizontal coordination 2016-2018 Calendar Ensure regulatory capital compliance & adequacy Promote harmonisation and consistency Reduce RWA Variability

Significant discrepancies did not reflect differences in risk profiles but resulted from different underlying definitions and certain modelling choices EBA GL November 2017

TRIM Impact

TRIM - Open Debates 1 2 3 4 5 TRIM Process TRIM Scope Model Governance Is it working? Is it consistent? Mission Accomplished? TRIM Process IRB models VaR and Stressed VaR Counterparty Risk Models TRIM Scope Enhancements in model risk management Data quality Model Governance CET1 Impact Disclosures Interaction with Basel IV and FRTB Investor Expectations & Impact Impact management Conservative estimates IRB Rollout & cost benefit analysis Going Forward