Featured Product

    EBA Consults on Amendment to Rule on Benchmarking of Internal Models

    December 18, 2018

    EBA published a consultation to amend the Commission Implementing Regulation (2016/2070) on benchmarking of internal models to adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise it will carry out in 2020. The proposed changes aim to simplify the portfolio structure for the credit risk part of the exercise and to obtain more insights into the model used for pricing for the market risk part of the exercise. The consultation will run until January 31, 2019. EBA also published the draft benchmarking package, which contains, among other documents, the market risk and credit risk reporting templates for the 2020 exercise.

    Based on the feedback received from the recent interactions with institutions, the EBA proposals included in this consultation paper aim to facilitate the reporting for the credit risk portfolios. The simplification of the structure of the data collection as well as the reduction of the number of portfolios is expected to enhance the data quality. Furthermore, the objective is to keep the structure of the portfolios stable for the 2021 exercise. The following are the key changes in the definitions of the credit risk portfolios:

    • A reduction in the number of portfolios to be submitted
    • A simplification and alignment in the structure of the portfolios to be submitted
    • A number of technical refinements, such as the inclusion of covered bonds, an update of the indexed loan-to-value range (ILTV), Statistical Classification of Economic Activities of the EU (NACE) and Credit Risk Mitigation (CRM) splits, and the introduction of a sub-sample of large corporates with revenue below or above EUR 500 million.
    • Minor updates related to enhancement of consistency as well as a data collection of the sensitivities, with the aim to further improve the data quality

    Article 78 of the Capital Requirements Directive (CRD) requires competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements. To assist competent authorities in this assessment, EBA calculates and distributes benchmark values, against which individual institutions' risk parameters can be compared. These benchmark values are based on data submitted by institutions as laid out in EU Regulation 2016/2070, which specifies the benchmarking portfolios, templates, and definitions to be used as part of the annual benchmarking exercises. For the 2020 benchmarking exercise, these proposed changes to the market and credit risk portfolios as well as changes to the reporting templates and instructions are necessary to keep the portfolios up-to-date and the reported data relevant for the above-mentioned assessment.

     

    Related Links

    Comment Due Date: January 31, 2019

    Keywords: Europe, EU, Banking, Internal Models, Benchmarking, CRR/CRD, Implementing Technical Standards, 2020 Benchmarking Exercise, EBA

    Related Articles
    News

    HKMA Sets Out Regulatory Treatment for Personal Loan Guarantee Scheme

    HKMA has published a circular that sets out the regulatory and reporting treatment for loans that participating authorized institutions may grant to eligible borrowers under the 100% Personal Loan Guarantee Scheme.

    April 20, 2021 WebPage Regulatory News
    News

    ECB Completes Targeted Review of Internal Models of Banks

    ECB published the results of the assessment of internal models that banks use to calculate risk-weighted assets for credit, market, and counterparty credit risks.

    April 19, 2021 WebPage Regulatory News
    News

    PRA on Regulatory Treatment of Loans Under Mortgage Guarantee Scheme

    PRA published a statement on the regulatory treatment of retail residential mortgage loans under the Mortgage Guarantee Scheme, or MGS.

    April 19, 2021 WebPage Regulatory News
    News

    FCA Consults on Rules and Reporting Forms for Investment Firms Regime

    FCA is consulting, via CP21/7, on the second phase of proposed rules to introduce the UK Investment Firm Prudential Regime (IFPR).

    April 19, 2021 WebPage Regulatory News
    News

    HMT and BoE Decide to Explore Central Bank Digital Currency in UK

    HM Treasury and BoE announced the joint creation of a Central Bank Digital Currency (CBDC) Taskforce to coordinate the exploration of a potential central bank digital currency in UK.

    April 19, 2021 WebPage Regulatory News
    News

    EIOPA Sets Out Expectations on Use of Climate Risk Scenarios in ORSA

    EIOPA published an opinion to set out its expectations on the supervision of the integration of climate change risk scenarios by insurers in their Own Risk and Solvency Assessment (ORSA).

    April 19, 2021 WebPage Regulatory News
    News

    Bundesbank Updates AnaCredit Reporting Requirements

    Bundesbank published two circulars on AnaCredit reporting requirements. Circular 27/2021 covers changes to the reporting of branches, additional attributes to be reported for investment funds from August 01, 2021, and updates to the list of international organizations.

    April 16, 2021 WebPage Regulatory News
    News

    EC Sets Out Standards for MREL Reporting by Competent Authorities

    EC published the Implementing Regulation 2021/622 that lays down implementing technical standards for reporting of the minimum requirement for own funds and eligible liabilities (MREL).

    April 16, 2021 WebPage Regulatory News
    News

    BCBS to Advance Work on Suptech, Climate Risk, and Basel Monitoring

    BCBS has set out the strategic work priorities, as part of its the work program for 2021-22.

    April 16, 2021 WebPage Regulatory News
    News

    PRA Finalizes Supervisory Approach for Non-Systemic Banks in UK

    PRA published the policy statement PS8/21, which contains the final supervisory statement SS3/21 on the PRA approach to supervision of the new and growing non-systemic banks in UK.

    April 15, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6874