EBA updated the list of institutions that have a reporting obligation for the EU supervisory benchmarking exercise in 2020. EBA runs this exercise leveraging on established data collection procedures and formats of regular supervisory reporting. The exercise assists competent authorities in assessing the quality of internal approaches used to calculate risk-weighted exposure amounts.
Internal approaches used for the calculation of own funds requirements for market and credit risks are subject to an annual assessment by the competent authorities. EBA assists competent authorities in their assessment by providing a report, which includes benchmarks that help identify any material differences in risk-weighted asset outcomes. The legal basis for the benchmarking exercises is laid down in the Capital Requirements Directive (CRD), in particular Article 78, in addition to the following technical standards provided by EBA:
- Regulatory Technical Standards on the assessment of the internal approaches adopted by institutions and the procedures for sharing those assessments between competent authorities
- Implementing Technical Standards specifying the benchmarking portfolios and reporting instructions for institutions to be applied in the annual benchmarking exercises
Keywords: Europe, EU, Banking, Benchmarking Exercise, Reporting, Internal Models, Credit Risk, Market Risk, CRD, EBA
Previous ArticleFINMA Announces 64 Banks Meet Criteria for Small Banks Regime
APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.
ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.
BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.
ECB published a decision allowing the euro area banks under its direct supervision to exclude certain central bank exposures from the leverage ratio.
ESAs launched a survey seeking feedback on the presentational aspects of product templates under the Sustainable Finance Disclosure Regulation (SFDR or Regulation 2019/2088).
ECB published input of the European System of Central Banks (ESCB) into the EBA feasibility report on reducing the reporting burden for banks in EU.
EC adopted a decision determining, for a limited period of time, that the regulatory framework applicable to central counterparties, or CCPs, in the UK and Northern Ireland is equivalent to the requirements laid down in the European Market Infrastructure Regulation (EMIR or Regulation 648/2012).
EBA has decided to phase out the guidelines on legislative and non-legislative moratoria of loan repayments, in accordance with the earlier specified end of September deadline.
EBA published an Opinion addressed to EC to raise awareness about the opportunity to clarify certain issues related to the definition of credit institution in the upcoming review of the Capital Requirements Directive and Regulation (CRD and CRR).
ECB finalized the guide on assessment methodology for the internal model method for calculating exposure to counterparty credit risk (CCR) and the advanced method for own funds requirements for credit valuation adjustment (A-CVA) risk.