EC Regulation Amends Technical Standards on Benchmarking Exercise
The European Commission (EC) published Regulation 2021/1971 that sets out the implementing technical standards for templates, definitions, and IT solutions to be used by institutions when reporting to the European Banking Authority (EBA) and to the competent authorities in accordance with the Capital Requirements Directive (CRD IV). Regulation 2021/1971 amends Regulation 2016/2070 on benchmarking of internal models. With this amendment, annexes to Regulation 2016/2070 have been replaced by annexes to the Regulation 2021/1971, which shall enter into force on the twentieth day following that of its publication in the Official Journal of the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 for institutions to enable the competent authorities to monitor the range of risk-weighted exposure amounts or own funds requirements for exposures or transactions in the benchmark portfolio resulting from the internal approaches and to assess those approaches (the benchmarking exercise). For the credit risk analysis, previous benchmarking exercises highlighted some potential for improving both the definition of the benchmarking portfolios and the reporting instructions. In addition, the previous benchmarking exercises demonstrated that the number of portfolios reported and their complexity were a strong impediment to the quality of the data reported. Additionally, suggestions and feedback from institutions taking part in the past market risk benchmarking exercises showed the need to amend certain definitions of the instruments for the market risk exercise laid down in Annex V to Regulation 2016/2070. Thus, given the previous feedback and experiences and the need to improve the quality of reported data and to obtain more accurate benchmark values, the benchmarking portfolios are being revised along these three lines via Regulation 2021/1971: decrease in the number of benchmark portfolios, simplified design of the benchmark portfolios, and better, more stable benchmark portfolio definitions.
Related Link: Regulation 2021/1971 (PDF)
Effective Date: December 09, 2021
Keywords: Europe, EU, Banking, Reporting, Implementing Technical Standards, Benchmarking Exercise, CRD IV, Credit Risk, Market Risk, Basel, Internal Model Approach, Internal Models, EBA
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
David Fihrer
Skilled life insurance actuary; subject matter expert on IFRS 17 and source of earnings
Previous Article
BaFin Sets Out Work Objectives for 2022-2025Related Articles
EBA Publishes Final Regulatory Standards on STS Securitizations
The European Banking Authority (EBA) published the final draft regulatory technical standards specifying and, where relevant, calibrating the minimum performance-related triggers for simple.
ECB Further Reviews Costs and Benefits Associated with IReF
The European Central Bank (ECB) is undertaking the integrated reporting framework (IReF) project to integrate statistical requirements for banks into a standardized reporting framework that would be applicable across the euro area and adopted by authorities in other EU member states.
BCBS to Finalize Crypto Rules by End-2022; US to Propose Basel 3 Rules
The Basel Committee on Banking Supervision met, shortly after a gathering of the Group of Central Bank Governors and Heads of Supervision (GHOS), the oversight body of BCBS.
IOSCO Welcomes Work on Sustainability-Related Corporate Reporting
The International Organization of Securities Commissions (IOSCO) welcomed the work of the international audit and assurance standard setters—the International Auditing and Assurance Standards Board (IAASB)
EBA Publishes Funding Plans Report, Receives EMAS Certification
The European Banking Authority (EBA) has been awarded the top European Standard for its environmental performance under the European Eco-Management and Audit Scheme (EMAS).
MAS Launches SaaS Solution to Simplify Listed Entity ESG Disclosures
The Monetary Authority of Singapore (MAS) set out the Financial Services Industry Transformation Map 2025 and, in collaboration with the SGX Group, launched ESGenome.
BoE Allows One-Day Delay in Statistical Data Submissions by Banks
The Bank of England (BoE) published a Statistical Notice (2022/18), which informs that due to the Bank Holiday granted for Her Majesty Queen Elizabeth II’s State Funeral on Monday September 19, 2022.
ACPR Amends Reporting Module Timelines Under EBA Framework 3.2
The French Prudential Control and Resolution Authority (ACPR) announced that the European Banking Authority (EBA) has updated its filing rules and the implementation dates for certain modules of the EBA reporting framework 3.2.
ECB Paper Discusses Disclosure of Climate Risks by Credit Agencies
The European Central Bank (ECB) published a paper that examines how credit rating agencies accepted by the Eurosystem, as part of the Eurosystem Credit Assessment Framework (ECAF)
APRA to Modernize Prudential Architecture, Reduces Liquidity Facility
The Australian Prudential Regulation Authority (APRA) announced reduction in the aggregate Committed Liquidity Facility (CLF) for authorized deposit-taking entities to ~USD 33 billion on September 01, 2022.
