EIOPA published an update on Internal Model Consistency Projects to strengthen supervisory consistency and convergence in the EU. Recently, EIOPA has implemented three internal model consistency workstreams—namely, Market and Credit Risk Benchmarking Study, Modeling of Sovereign Exposures, and Modeling of Dynamic Volatility Adjustment. This update summarizes the work carried out on these, along with the current status and the next steps.
The activities are part of the follow-up on the Opinion on the preparation for internal model applications, which was issued in April 2015. In this Opinion, EIOPA had recommended that the national competent authorities should conduct comparative studies on the national competent authority level and contribute to, and make use of, corresponding studies on the EU level coordinated by EIOPA. Furthermore, provision for comparative studies, where undertakings are required to run their models on relevant benchmark portfolios, is included in Article 122 of the Solvency II Directive. The EIOPA Opinion also covered the modeling of sovereign exposures and stated that EIOPA would collect data and perform a follow-up study to assess the treatment of sovereign exposures in internal models in member states.
Related Link: News Release
MAS and Temasek jointly released a report to mark the successful conclusion of the fifth and final phase of Project Ubin, which focused on building a blockchain-based multi-currency payments network prototype.
EBA published phase 2 of the technical package on the reporting framework 2.10, providing the technical tools and specifications for implementation of EBA reporting requirements.
APRA updated the lists of the Direct to APRA (D2A) validation rules for authorized deposit-taking institutions, insurers, and superannuation entities.
PRA updated the statement that provides guidance to regulated firms on implementation of the EBA guidelines on reporting and disclosure of exposures subject to measures applied in response to the COVID-19 crisis.
EBA updated the 2019 list of closely correlated currencies that was originally published in December 2013.
FASB issued a proposed Accounting Standards Update that would grant insurance companies, adversely affected by the COVID-19 pandemic, an additional year to implement the Accounting Standards Update No. 2018-12 on targeted improvements to accounting for long-duration insurance contracts, or LDTI (Topic 944).
APRA updated the regulatory approach for loans subject to repayment deferrals amid the COVID-19 crisis.
BCBS and FSB published a report on supervisory issues associated with benchmark transition.
IAIS published a report on supervisory issues associated with benchmark transition from an insurance perspective.
ESMA updated the reporting manual on the European Single Electronic Format (ESEF).