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    EC Amends Rule on Internal Model Benchmarking Under CRD IV

    March 29, 2019

    EC published the Implementing Regulation (EU) 2019/439, which amends the Implementing Regulation 2016/2070 on benchmark portfolios, reporting templates, and reporting instructions to be applied in EU, under the Capital Requirements Directive (CRD) IV (also known as Directive 2013/36/EU). Regulation 2019/439 shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

    Regulation 2016/2070 specifies the reporting requirements of institutions to EBA and to the competent authorities; the regulation is intended to enable EBA and the competent authorities to assess internal approaches of institutions, as part of the benchmarking exercise under CRD IV. Given that institutions must submit the results of their calculations at least annually and that the focus of the competent authorities' assessments and of EBA's reports have changed, exposures or positions that are included in the benchmark portfolios, along with the reporting requirements, need to be adapted to such changes. Consequently, Regulation 2016/2070 has been amended as follows:

    • Article 3(3)(b) and Article 7 have been deleted.
    • Article 4(2) has been replaced.
    • Annexes I, II, III, IV, V, VI and VII to Regulation (EU) 2016/2070 have been replaced by the text set out in the respective Annexes I, II, III, IV, V, VI and VII to Regulation (EU) 2019/439

     

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    Effective Date: April 18, 2019

    Keywords: Europe, EU, Banking, Securities, Benchmark Portfolios, Reporting, CRD IV, Internal Approaches, Regulation 2019/439, Basel III, Credit Risk, Market Risk, Regulatory Capital, EBA, EC

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