EBA Publishes Updated Package for 2020 Internal Model Benchmarking
EBA updated the implementing technical standards on benchmarking of internal approaches in EU. The implementing standards include all benchmarking portfolios that will be used for the 2020 benchmarking exercise. The draft implementing standards will be submitted to EC for endorsement, before being published in the Official Journal of the European Union. The technical standards will apply 20 days after publication in the Official Journal. These revised benchmarking portfolios and reporting requirements are expected to be applicable to the submission of initial market valuation, or IMV, data in the third quarter of 2019 and of other market and credit risk data in 2020—that is, with a reference date of December 31, 2019.
This update includes changes and clarifications, which reflect the comments received during the consultation that was launched on December 18, 2018. A number of changes reduce the reporting requirements, thus ensuring a more proportionate reporting burden, which will also increase stability going forward. For the market risk benchmarking, the instruments have been updated and clarified but the overall composition of the portfolio has not been changed with respect to the 2019. For the credit risk portfolios, the revision of the benchmarking portfolios simplifies the exercise, owing to a reduction in the number of portfolios to be reported and a closer alignment to the Common Reporting (COREP) structure, with a view to achieving stable portfolio definitions for the future.
The Capital Requirements Directive (CRD IV) 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 risk parameters of individual institutions can be compared. These benchmark values are based on data submitted by institutions as laid out in Regulation (EU) 2016/2070, which specifies the benchmarking portfolios, templates, and definitions to be used in the annual benchmarking exercises. For the 2020 benchmarking exercise, changes to the market risk and credit risk portfolios and to the reporting templates and instructions are necessary to keep the portfolios up to date and the reported data relevant for this assessment. The supporting technical package consisting of the data point model (DPM), the validation rules, and the taxonomy are being prepared simultaneously and will be published at a later stage.
Related Links
Keywords: Europe, EU, Banking, Internal Models, 2020 Benchmarking, Benchmarking, Credit Risk, Market Risk, CRD IV, Proportionality, EBA
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Previous Article
BNM Consults on Requirements for Repurchase Agreement TransactionsRelated Articles
EU Amends CRD4 and CRD5 as Part of Capital Markets Recovery Package
EU published Directive 2021/338, which amends the Markets in Financial Instruments Directive (MiFID) II and the Capital Requirements Directives (CRD 4 and 5) to facilitate recovery from the COVID-19 crisis.
EU Committee Recommends Systemic Risk Buffer of 4.5% in Norway
The Standing Committee of the European Free Trade Association (EFTA) recommended that a systemic risk buffer level of 4.5% for domestic exposures can be considered appropriate for addressing the identified systemic risks to the stability of the financial system in Norway.
PRA Clarifies Approach to Onshoring of Credit Risk Rules for UK Banks
In a recent statement, PRA clarified its approach to the application of certain EU regulatory technical standards and EBA guidelines on standardized and internal ratings-based approaches to credit risk, following the end of the Brexit transition.
FSB Sets Out Work Priorities for 2021
In a recently published letter addressed to the G20 finance ministers and central bank governors, the FSB Chair Randal K. Quarles has set out the key FSB priorities for 2021.
EU Publishes Corrigendum to Revised Capital Requirements Regulation
EU published, in the Official Journal of the European Union, a corrigendum to the revised Capital Requirements Regulation (CRR2 or Regulation 2019/876).
ESAs Issue Statement on Application of Sustainability Disclosures Rule
ESAs published a joint supervisory statement on the effective and consistent application and on national supervision of the regulation on sustainability-related disclosures in the financial services sector (SFDR).
EC Consults on Crisis Management and Deposit Insurance Frameworks
EC published a public consultation on the review of crisis management and deposit insurance frameworks in EU.
HKMA Enhances Loan Guarantee Scheme to Alleviate Pressure on SMEs
HKMA announced that enhancements will be made to the Special 100% Loan Guarantee of the SME Financing Guarantee Scheme (SFGS) and the application period will be extended to December 31, 2021.
EBA Proposes Standards for Supervisory Cooperation Under IFD
EBA launched consultations on the regulatory and implementing technical standards on cooperation and information exchange between competent authorities involved in prudential supervision of investment firms.
BoE Addresses Banks in Scope of First Resolvability Assessment
BoE issued a letter to the CEOs of eight major UK banks that are in scope of the first Resolvability Assessment Framework (RAF) reporting and disclosure cycle.
