WG IFRS 9 / CECL impairment models

Challenges in backtesting & validation of expected loss models Contact person:Daniela Thakkar Location:Webex call

Dr. Markus Seiffert, Philipp Gerold and Anne Kleppe from d-fine zoom into the challenges of extracting PD term structures from rating migration data. Some background: The datapool members gave d-fine access to the rating migration data GCD is pooling. The presentation summarizes the results and the methodology. Additional analytics and a whitepaper / article will follow in the upcoming weeks.   Contact person:Daniela Thakkar Location:Webex call

This WG meeting was set up to allow an open discussion on how to deal with calculating a historical “forward-looking, point-in-time PD”. The material serves as basis and is intended to initiate the knowledge exchange between the organizations on that topic.   Contact person:Daniela Thakkar Location:Webex call

This WG meeting is set up to discuss the proposed key activities in the working group in 2017.  a) a “quantitative study” to support the calibration process (H1/2017) and  b) a “methodogolical survey” on validation and calibration methods (H2/2017), together with the working "Validation"   Contact person:Daniela Thakkar Location:Webex call

WG meeting with the following agenda:  a. Treatment of reverse repos / stock borrowing transactions: What is the lifetime of these transactions, what are methods applied to calculate ECL b. Cash collateral assets (mainly initial margin balances for derivatives) – do banks calculate ECL on this, what methods are applied, what is the lifetime of these positions? Contact person:Daniela Thakkar Location:Webex call

Scott Aguais / Larry Forest / Gaurav Chawla from AAA present: - Scenario design choices - Pro’s and Cons of different approaches - Industry feedback on scenario design - Some quantitative feedback on different scenario building approaches (“Variance Compression Bias”) - Validation of scenarios received from economic departments - How to incorporate economic cycles, mean reversion and starting assumptions Contact person:Daniela Thakkar Location:Webex call

WG meeting to discuss our proposal of an IFRS 9 quantitative benchmarking study. The idea originated from one of our member banks and can be performed by GCD provided we have enough member support. Contact person:Daniela Thakkar Location:Webex call

Dear members of the WG , please find attached the material for our call on Thursday. Note: We have set the time according to the time zone of the speaker. For those we cannot join the meeting: we will record the meeting and send around the link afterwards. Please feel free to come back to me with any questions. Best regards Daniela ////////////////// WG IFRS 9: Validation framework for IFRS 9 models Thursday, May 4, 2017 10:00 am | Europe Summer Time (Berlin, GMT+02:00) | 1 hr Meeting number (access code): 950 607 253 Meeting password: iceberg When its time, start up your meeting:  https://pecdc.webex.com/pecdc/j.php?MTID=m8eee659196c1de705f4f2d54c2215dfe Join by phone +44-203-478-5289 Call-in toll number (UK) +1 631 267 4890 USA/Canada toll Global call-in numbers: ​ https://pecdc.webex.com/pecdc/globalcallin.php?serviceType=MC&ED=512421972&tollFree=0 Location:Webex call

Dear WG members, please find attached the material for tomorrow’s working group meeting (log-in details below). TOMORROW WE HAVE OUR FINAL CALL TO DECIDE AND KICK-OFF THE IFRS 9 BENCHMARKING STUDY. The call will guide in detail through the template and takes up all your last remarks in terms of template, timelines and process. After the call, I will ask you to let me know whether you will be able to participate in the study and which parts you intend to fill in. Note: based on the feedback of members , we have adjusted the “common scenario” in comparison with the latest proposal we have sent out. In the common scenario we will ask you to use your ACTUAL values for your macro-economic drivers as of YE 2012 to YE 2016. This proposal reduces for you both workload as well as the level of assumptions needed to be made when calculating the ECL. We truly believe that – by means of this study – we have provided you now with an excellent tool to benchmark your ECL methodology for your major wholesale portfolios as well as the retail mortgage portfolio. It is up to you to use this chance now. I am at your service to answer further questions and connect you to your peers. Best regards Daniela ////////// […]

Dear members of the IFRS 9 working group,  in the last weeks, I had with many of you calls on the IFRS 9 Benchmarking study H1/2018 , including how to further develop the IFRS 9 Benchmarking study.  For those, we are interested in joining the study this summer (timeline to deliver the templates: June 30th, 2018) I kindly invite you to a final call to discuss and approve the templates for this round.   Important note to EBA-regulated banks: Next to benchmarking the ECL under the “own scenario set” and under “the common scenario”, we aim to integrate a benchmarking of the hypothetical portfolio under stress, based on the stress scenarios of the EBA stresstest 2018. Happy to hear if you have any special considerations on this subject. Other changes in comparison with the templates of last year: Mortgage section further elaborated Credit card portfolio included Banks & Non-bank Financial Companies included Additional countries Stage Allocation (Stage 1 to Stage 2 movement) further elaborated I will explain everything in the meeting next Monday. Please use the link below to book the meeting in your agenda. I will also send around minutes and the final templates after the call. In case of any questions or special […]

  Pre-discussions with banks revealed a further interest of banks to exchange on IFRS 9, typically on post-implementation challenges (e.g. backtesting, managing of qualitative overrides, managing the volatility of IFRS 9).  Banks have implemented robust IFRS 9 models with a variety of methodologies, depending on their modelling capacity, data availability and business strategy.  However, benchmarking data on IFRS 9 is scare.  GCD invites all member who are interested in a new work stream on IFRS 9 Benchmarking to join the kick-off call on December 5th, 2019 at 2pm CET and 8am EST.  The IFRS 9 work could consist of  specific knowledge exchange sessions between banks on post-implementation challenges and / or   a new, revised IFRS 9 Benchmarking template and data collection smaller regional actions  ... Members will decide.  Please click on the attached agenda item to note the meeting in your agenda or contact Daniela Thakkar for any further questions.    Meeting URL: https://globalcreditdata.zoom.us/j/128086147 Meeting ID: 128 086 147 Join by Telephone For higher quality, dial a number based on your current location. Dial: US: +1 929 436 2866 or +1 669 900 6833 Meeting ID: 128 086 147 Link to international numbers: https://globalcreditdata.zoom.us/u/aivQHQqK0   Contact person:Daniela Thakakr Location:Zoom Call

Login details Join Zoom Meeting Phone one-tap: US: +19294362866,,510546640# or +16699006833,,510546640# Meeting URL: https://globalcreditdata.zoom.us/j/510546640 Meeting ID: 510 546 640 Join by Telephone For higher quality, dial a number based on your current location. Dial: US: +1 929 436 2866 or +1 669 900 6833 Meeting ID: 510 546 640 International numbers   Contact person:Daniela Thakkar Location:Zoom call