EBA Consults on Technical Standards on Benchmarking of Internal Models
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
Featured Experts
David Fihrer
Skilled life insurance actuary; subject matter expert on IFRS 17 and source of earnings
Eve Pastor
IFRS subject matter expert, accounting authority
Previous Article
EBA Discussion Paper on Implementing Revised Market Risk FrameworkRelated Articles
|
News
APRA Publishes Proposal to Increase Transparency of Banking DataAPRA proposed to substantially increase the volume and breadth of data it makes publicly available on authorized deposit-taking institutions, including banks, credit unions, and building societies.
December 05, 2019
WebPage
Regulatory News
|
|
News
EC Amends Rule on Mapping of External Credit Assessment InstitutionsEC published the implementing regulation (EU) 2019/2028, which amends Regulation 2016/1799, regarding the mapping tables specifying correspondence between the credit risk assessments of external credit assessment institutions (ECAIs) and the credit quality steps set out in the Capital Requirements Regulation.
December 04, 2019
WebPage
Regulatory News
|
|
News
EBA Issues Second Part of Advice on Implementation of Basel III in EUEBA published the second part of its advice on the implementation of Basel III in EU, which complements the report published on August 05, 2019.
December 04, 2019
WebPage
Regulatory News
|
|
News
EU Approves European Council Proposal on CCP Recovery and ResolutionEU ambassadors approved the position of European Council on a proposed framework for clearing houses and their authorities to prepare for and deal with financial difficulties.
December 04, 2019
WebPage
Regulatory News
|
|
News
EIOPA Consults on Approach for Regulating Key Aspects of PEPPEIOPA launched a consultation on the proposed approaches and considerations for its technical advice and its implementing and regulatory technical standards, as mandated by the Pan-European Personal Pension Product (PEPP) Regulation.
December 02, 2019
WebPage
Regulatory News
|
|
News
ESMA Issues Guidance for Registration of Securitization RepositoriesESMA published a guidance note on the process for registering securitization repositories under the Securitization Regulation.
December 02, 2019
WebPage
Regulatory News
|
|
News
European Council Appoints New Commission With Effect from December 01European Council appointed the new Commission for the period from December 01, 2019 to October 31, 2024.
December 02, 2019
WebPage
Regulatory News
|
|
News
BoE Governor Appointed as UN Envoy for Climate Action and FinanceBoE Governor Mark Carney has been appointed as the United Nations (UN) Special Envoy for Climate Action and Finance.
December 01, 2019
WebPage
Regulatory News
|
|
News
PRA Publishes Annual List of G-SIIs and O-SIIsPRA released the annual list of UK firms designated as other systemically important institutions (O-SIIs), along with the 2019 list of UK-headquartered global systemically important institutions (G-SIIs).
November 29, 2019
WebPage
Regulatory News
|
|
News
EBA Publishes Report on Risks and Vulnerabilities in EU Banking SectorEBA published its annual report on risks and vulnerabilities in the EU banking sector.
November 29, 2019
WebPage
Regulatory News
|
