Featured Product

    EBA Updated Implementing Standards for the 2019 Benchmarking Exercise

    June 29, 2018

    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

    EC Adopts Financial Reporting Changes Arising from Benchmark Reforms

    EC published Regulation 2021/25 that addresses amendments related to the financial reporting consequences of replacement of the existing interest rate benchmarks with alternative reference rates.

    January 14, 2021 WebPage Regulatory News
    News

    BIS Bulletin Examines Key Elements of Policy Response to Cyber Risk

    BIS published a bulletin, or a note, that examines the cyber threat landscape in the context of the pandemic and discusses policies to reduce risks to financial stability.

    January 14, 2021 WebPage Regulatory News
    News

    HMT Updates List of Post-Brexit Equivalence Decisions in UK

    HM Treasury, also known as HMT, has updated the table containing the list of the equivalence decisions that came into effect in UK at the end of the transition period of its withdrawal from EU.

    January 14, 2021 WebPage Regulatory News
    News

    EBA Issues Erratum for Technical Package on Reporting Framework 3.0

    EBA published an erratum for technical package on phase 1 of the reporting framework 3.0.

    January 14, 2021 WebPage Regulatory News
    News

    APRA Publishes FAQ on Measurement of Credit Risk Weighted Assets

    APRA updated a frequently asked question (FAQ), for authorized deposit-taking institutions, on the measurement of credit risk weighted assets.

    January 14, 2021 WebPage Regulatory News
    News

    EBA Publishes Risk Dashboard for Third Quarter of 2020

    EBA published the quarterly risk dashboard, along with the results of the Risk Assessment Questionnaire survey among 60 banks and 15 market analysts.

    January 13, 2021 WebPage Regulatory News
    News

    ECB Analysis Shows Privacy as Biggest Concern in Use of Digital Euro

    ECB concluded the public consultation on the introduction of a digital euro in EU.

    January 13, 2021 WebPage Regulatory News
    News

    ECB Finalizes Guide on Supervisory Approach to Bank Consolidation

    ECB published a guide that sets out the supervisory approach to consolidation in the banking sector.

    January 12, 2021 WebPage Regulatory News
    News

    SRB Chair Outlines Work Priorities for 2021

    The SRB Chair Elke König published an article setting out work priorities for 2021.

    January 11, 2021 WebPage Regulatory News
    News

    FDIC Selects Companies to Compete in Final Phase of Tech Sprint

    FDIC has selected 11 technology companies—including BearingPoint, Fed Reporter, Inc, and S&P Global Market Intelligence, LLC—for inclusion in the third and final phase of the rapid prototyping competition.

    January 11, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 6417