On 1 October 2019, the European Central Bank (ECB) published the consolidated version of its guide to internal models under the single supervisory mechanism (SSM).
The ECB’s rationale for the publication of this document is to consolidate its general topics and risk-type-specific chapters into one document. The guide provides transparency on how the ECB understands the Capital Requirements Regulation and how it intends to apply the Regulation when assessing whether institutions meet its requirements.
The guide is also intended to act as a document for the internal use of different ECB supervisory teams with the aim of ensuring a common and consistent approach to matters related to internal models. When applying the relevant regulatory framework in specific cases, the ECB will operate on a case-by-case basis in respect of the institutions concerned.