WG IFRS 9 #1/2018: Discussion results IFRS 9 Benchmarking study 2017

Dear WG IFRS 9 members ,

The year 2018 has started and we kindly invite you to our next WG meeting on FEBRUARY 1st, 2018 at 3pm CET / 9am EST to discuss the results of our “IFRS 9 benchmarking study 2017” (see attached) and to get your input on the way forward in this working group.

Many of our member banks have disclosed in the meantime their IFRS 9 numbers, some are currently working on the final disclosures. For you directly involved in modelling, the differences in risk estimates between banks (as shown in our study) is not surprising. Various industry organizations have analyzed in the last years the variability of methodologies present in the regulatory models, resulting in intensive regulatory exercises (e.g. in Europe: EBABenchmarking exercise, TRIM, …). Provisioning models require a life-time perspective, multiple scenarios, stage allocation (for IFRS 9), … and therefore an even greater diversity is expected.

In 2017, GCD has been invited on numerous occasions to present to regulators on the variability of methodologies (BCBS Task Force ECL modelling in October 2017, Three-way-meeting organized by IIF in December 2017 and Meeting with Bank of England in January 2018). GCD is also one of the first organizations in the world with a quantitative study on those differences – fully designed and setup together with its members. As you can imagine, the regulators highly appreciated the self-initiative of the industry and are strongly encouraging GCD to continue its work in providing a platform for members to share data and methodologies.

With GCD being a member-driven organization, we would like to get your input on how to move forward in 2018. Our proposal is to start up again with member bank presentations on various subjects relevant for IFRS 9 modelling as well as to re-run the IFRS 9 Benchmarking study (including lesson learnt from 2017), provided there is enough support from members.

We invite you to join the working group and discuss with us the way forward. If you cannot join, please let me know your view per email.

All the best,

Daniela

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WG IFRS 9
Thursday, February 1, 2018
2:00 pm | Europe Time (Amsterdam, GMT+01:00) | 1 hr
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