Dear all, I would like to invite to our next WG meeting on THURSDAY, OCTOBER 5th at 1500 CEST. The purpose of the meeting is to present and get your input on the slide deck which we will presented at a meeting of the BCBS Task Force Provisioning on October 10th, 2017. The BCBS TFP is currently working on policy options for the longer-term regulatory treatment of provisions under the Basel framework and is especially interested in “the variety of methodologies and calibration issues” being considered by banks. The BCBS TFP has heard about our working group through a webinar which we recently gave to US Banks starting up with their CECL implementation. They also got to know about our planned IFRS 9 benchmarking study. Note, GCD is not a lobbying organization (and we are not asked to lobby nor share data) but to present and educate the Task Force on the variety of methodologies which are out there when it comes to IFRS 9 impairment modelling. The results of our 2016 survey plus some high-level analytics will be part of that slide deck. We had asked the survey participants to use the survey results earlier and we have not received any negative answers to that. Hope to speak to you in the meeting. Best regards Daniela P.S. Reminder: The […]

Dear WG IFRS 9 members, as communicated earlier, GCD has been invited by the Basel Committee’s Task Force on Expected Loss Provisioning to present on data and methods used in IFRS 9 / CECL provision modelling. The meeting took place on Tuesday, October 10th, 2017, with more than 25 regulators present worldwide (incl. Fed, OCC, OSFI, European Commission, EBA, PRA, Bafin, ..). Also all Big 4 accounting firms have been present as well as the IIF and various representatives from banks. Our presentation (attached for your reference) was very well received, being often cited for the remainder of the day and with regulators praising the industry for taking the initiative to explore data and methods themselves. Please find attached also my personal notes of that day. I also attach the material presented by Ernst & Young . In case you are interested in the material of the IIF on procyclicality please contact Hassan Haddou (hhaddou@iif.com). The meeting came at a time, where we are busy with our IFRS 9 Benchmarking study. The regulators stressed the importance of getting good insights in what drives the variability between the banks and appreciated the initiative of the banks. Just in case your bank is not joining yet (at the moment 25 banks have indicated their participation), please here a introduction in […]