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Target Review of Internal Models.pdf
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The Targeted Review of Internal Models (TRIM) is aimed at enhancing the credibility and confirming the adequacy and appropriateness of approved Pillar I internal models permitted for use by significant institutions when calculating own funds requirements. As a major objective, TRIM focuses on the reduction of unwarranted variability in risk-weighted assets (RWA) driven by inappropriate modelling which takes advantage of the freedom granted by the current regulation.
TRIM will encompass two aspects:
- compliance with regulatory requirements related to internal models, through an assessment based on the Capital Requirements Regulation1 (CRR), the Capital Requirements Directive2 (CRD IV), relevant Commission Delegated Regulations and Commission Implementing Regulations, regulatory technical standards (RTS), European Banking Authority (EBA) guidelines, and the approved European Central Bank (ECB) Banking Supervision manuals and guidelines – thereby fulfilling the obligations of ECB Banking Supervision to ensure equal treatment of credit institutions and the supervisory assessment and approval of internal models;
- the reduction of unwarranted variability in RWA as it relates to internal model outcomes, taking into account the results of benchmarking, delivering interpretations of the CRR and addressing current gaps in interpretation of regulations relating to internal models, in situations where significant modelling issues contributing to unwarranted variability have been identified.
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