PRA published updates in relation to the 2021 Supervisory Benchmarking Portfolio exercise. As set out in the 2021 Supervisory Benchmarking Portfolio exercise, the reference date for the Supervisory Benchmarking Portfolio—Initial Market Valuation (COR010) is September 24, 2020, with the data due to be submitted via the GABRIEL reporting system by October 02, 2020. The GABRIEL system will be able to accept submissions of the 2020 COR010 data from September 28, 2020. All other templates in the 2021 Supervisory Benchmarking Portfolio exercise must be submitted according to the EBA Taxonomy 2.10 requirements and the remittance dates set out in the EU Commission Implementing Regulation 2016/2070 and its annexes.
Requirements for the 2021 Supervisory Benchmarking Portfolio exercise (for the end of 2020) have been set out in the 2021 draft implementing technical standards that amend the EU Commission Implementing Regulation 2016/2070 with regard to benchmarking of internal models and in the accompanying annexes on market risk, credit risk, and IFRS 9. PRA expects these amendments to the implementing technical standards (2016/2070) in relation to benchmarking portfolios, reporting templates, and reporting instructions to be made applicable before the end of the transition period of the withdrawal of UK from EU.
Keywords: Europe, UK, Banking, Credit Risk, Market Risk, Reporting, Reporting Framework 2.10, Internal Models, Implementing Technical Standards, Benchmarking Exercise, PRA
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