EBA Updated Implementing Standards for the 2019 Benchmarking Exercise
EBA published the updated implementing technical standards, which amend Commission Implementing Regulation (EU) 2016/2070, on the benchmarking of internal models. The implementing standards include all benchmarking portfolios that will be used for the 2019 benchmarking exercise. The implementing standards will be submitted to EC for endorsement, before being published in the Official Journal of the European Union. The implementing standards will apply 20 days after publication in the Official Journal.
The update includes changes and clarifications that EBA introduced based on the consultation paper that was published on December 18, 2017. For the market risk benchmarking, the portfolios have been significantly updated. After three years of exercises (2016-2018), a new set of portfolios have been introduced, which are significantly simpler in their composition and consist of plain vanilla instruments. This will allow a broader coverage of the instruments in the 2019 exercise. Minor changes have been introduced for the credit risk portfolios, but adjustments have been made to the data requested from institutions. These changes most notably include the following:
- Distinction between on- and off-balance-sheet exposures
- Adjustments to the metrics for benchmarking portfolios
- New split by collateral types
- Separation of specialized lending exposures
- Expiration of the transitional provision that allowed institutions not to report a benchmarking metric based on the standardized approach
Given the type of changes introduced by these implementing standards to the benchmarking portfolios and to the reporting instructions and templates, the relevant annexes have been replaced in their entirety to create a consolidated version of the updated draft implementing technical standards package. These 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 reference date December 31, 2018).
Related Links
Keywords: Europe, EU, Banking, Implementing Technical Standards, Benchmarking Internal Models, 2019 Benchmarking Exercise, Benchmarking, Internal Models, EBA
Related Articles
|
News
EBA Single Rulebook Q&A: Third Update for March 2019EBA published answers to seven questions under the Single Rulebook question and answer (Q&A) updates for this week.
March 15, 2019
WebPage
Regulatory News
|
|
News
EBA Publishes Report on Convergence of Supervisory Practices Across EUEBA published annual report on the convergence of supervisory practices in EU.
March 14, 2019
WebPage
Regulatory News
|
|
News
CPMI-IOSCO Publish Update to Level 1 Assessment of PFMI ImplementationCPMI and IOSCO jointly updated the Level 1 Assessment Online Tracker on monitoring of the implementation of the Principles for financial market infrastructures (PFMI).
March 14, 2019
WebPage
Regulatory News
|
|
News
Agustín Carstens of BIS Speaks About New Role of Central BanksWhile speaking at the 20th anniversary conference of the Financial Stability Institute (FSI), Agustín Carstens, the General Manager of BIS, highlighted the need for regulatory actions in light of the continued evolution of financial technology.
March 14, 2019
WebPage
Regulatory News
|
|
News
PRA Publishes Policy Statement on Group Supervision Under Solvency IIPRA published a policy statement (PS9/19) that provides feedback on responses to the consultation paper CP15/18 and the final supervisory statement SS9/15 (Appendix) on group supervision under Solvency II.
March 14, 2019
WebPage
Regulatory News
|
|
News
PRA Proposes to Update the Pillar 2 Capital Framework for BanksPRA is proposing (CP5/19) to update the Pillar 2 capital framework to reflect continued refinements and developments in setting the PRA buffer (Pillar 2B).
March 13, 2019
WebPage
Regulatory News
|
|
News
PRA Publishes Policy Statement Related to Credit Risk MitigationPRA published a policy statement (PS8/19) that contains the final policy in the updated supervisory statement SS17/13 on credit risk mitigation (Appendix 1) as well as the statement SS31/15 on Internal Capital Adequacy Assessment Process (ICAAP) and the Supervisory Review and Evaluation Process or SREP (Appendix 2).
March 13, 2019
WebPage
Regulatory News
|
|
News
FED Updates Supplemental Information and Q&A for Form FR Y-14FED updated the supplemental instructions and the questions and answers (Q&A) document for the information collection on capital assessments and stress testing, which is covered by the reporting form FR Y-14A.
March 13, 2019
WebPage
Regulatory News
|
|
News
EC Amends Regulations on Clearing Obligation for Derivative ContractsEC published the Delegated Regulation (EU) 2019/396 that supplements the European Market Infrastructure Regulation (EMIR) regarding the date at which the clearing obligation takes effect for certain types of contracts.
March 13, 2019
WebPage
Regulatory News
|
|
News
BCBS Sets Prudential Expectations for Crypto-Asset Exposures of BanksBCBS issued a statement setting out its prudential expectations for bank exposures to crypto-assets and related services, for the jurisdictions that do not prohibit such exposures and services.
March 13, 2019
WebPage
Regulatory News
|
