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December 18, 2017

EBA launched a consultation to amend the Commission Implementing Regulation on benchmarking of internal models. These amendments will adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise that EBA will conduct in 2019. The proposed changes reduce uncertainties in the credit risk portfolios, thus aiming to foster a common and coherent interpretation and implementation of the reporting requirements across EU institutions. The consultation will run until January 31, 2018.

Based on the feedback received from the recent interactions with institutions, the proposals included in this consultation paper aim at enhancing the market risk portfolios, in addition to simplifying some hypothetical trades. Minor changes to the reporting templates and instructions have been included to keep the portfolios up-to-date and the reported data relevant for the 2019 assessment. The revised benchmarking portfolios and reporting requirements are expected to be applicable for the submission of initial market valuation data in the third quarter of 2018 and of other market and credit risk data in 2019 (that is, with the reference date of December 31, 2018).

 

Related Link: Press Release and Consultation Paper

Comment Due Date: January 31, 2018

Keywords: Europe, EU, Banking, Benchmarking Internal Models, Implementing Technical Standards, Reporting, Credit Risk, Market Risk, Benchmark, EBA

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