European Central Bank Banking Supervision has published version 4.1 of its guide to internal models, updating the consolidated supervisory guide used for permissions to use internal models for credit risk, counterparty credit risk and market risk under the Capital Requirements Regulation. The substantive change in this release is the removal of all content related to the estimation of the conversion factor, or CCF, because the European Banking Authority is preparing Guidelines on that topic. The updated contents show that the former section on CCF estimation in the credit risk parameter chapter has been deleted. The guide otherwise remains the ECB’s statement of how it understands and applies the current European Union prudential framework when assessing institutions’ internal models, and is also intended to support a common and consistent supervisory approach across ECB supervisory teams. The foreword also reiterates that the guide does not replace or overrule applicable European Union or national law. Next steps are limited in the release. The European Banking Authority’s Guidelines on CCF are still being prepared, and the ECB notes that parts of the guide may need further revision as new regulatory technical standards or implementing technical standards are finalised or adopted.
European Central Bank - Banking Supervision2026-06-26
European Central Bank Banking Supervision updates internal models guide by removing CCF estimation content
European Central Bank Banking Supervision has issued version 4.1 of its guide to internal models, removing all guidance on CCF estimation. The change reflects the European Banking Authority’s ongoing work on separate Guidelines for CCF. The rest of the guide continues to set out the ECB’s supervisory interpretation for internal model approvals.