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    EC Rule to Amend Standards for Benchmarking of Internal Approaches

    May 24, 2022

    The European Commission (EC) published text for the regulation that amends the implementing technical standards for benchmark portfolios, reporting templates, and reporting instructions to be applied for the reporting referred to in Article 78(2) of the Capital Requirements Directive (CRD IV).

    The EC regulation amends technical standards laid down in the Implementing Regulation 2016/2070, which specifies the reporting requirements for institutions to enable the European Banking Authority (EBA) and competent authorities to monitor the range of risk-weighted exposure amounts or own funds requirements for the exposures or transactions in the benchmark portfolio resulting from the internal approaches of those institutions and to assess those approaches as required by CRD IV. The EC regulation amends Annexes I to IX of the Regulation 2016/2070: Annexes I to IV relate to credit risk benchmarking, Annexes V to VII relate to market risk benchmarking, and Annexes VIII and IX relate to IFRS 9 benchmarking. The benchmarking of the loss given default (LGD) parameters have been added to IFRS 9 benchmarking templates, in line with the timeline presented in the published roadmap in July 2019 on IFRS 9 deliverables by the European Banking Authority (EBA). The EC regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

     

    Related Links: Regulation Text and Related Annexes

     

    Keywords: Europe, EU, Banking, Internal Approaches, Basel, Implementing Technical Standards, Benchmarking, Market Risk, Credit Risk, IFRS 9, CRD, Reporting, Loss Given Default, Regulatory Capital, EBA, EC

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