On 21 November 2019, the European Central Bank (ECB) provided its third update on the targeted review of internal models (TRIM).
The ECB reports that a significant milestone has been reached with the successful conclusion of the last set of on-site investigations for the TRIM project. The ECB has also completed its analysis of the outcome of the TRIM investigations on counterparty credit risk internal models and an overview of this analysis is provided with the update. The analysis complements the information provided by the ECB in April 2019 covering general topics, credit risk and market risk.
Looking ahead, the ECB plans to finalise the TRIM project, namely by concluding its analyses and documenting their outcomes, and finalising all relevant project documentation. In addition, the supervisory follow-up on TRIM findings will continue and intense work is expected of institutions to address those findings. Upon completing the TRIM project, the ECB plans to discuss with institutions the next steps for internal models in a dedicated event in Q2 2020. The invitation and logistical details will follow in due course.