DNB on Reporting Specifications for Benchmarking of Internal Models
DNB has issued certain changes and specifications related to submission of the supervisory benchmarking portfolios (SBP) in context of the Data Point Model (DPM) 2.9. The entry points of all the Supervisory Benchmarking reports will change with the introduction of DPM 2.9.
Under DPM 2.9, the SBP_CON and SBP_IND modules have been split into separate modules for SBP Credit Risk (CR) and SBP Market Risk (RM). In concrete terms, this means that the COREP_CON and COREP_IND modules have been removed. Instead, the new modules SBP_CR_CON, SBP_CR_IND, SBP_RM_CON and SBP_RM_IND have been introduced. The reporting requirements in Digital Reporting Portal (Digitaal Loket Rapportages, or DLR) will be adjusted accordingly.
DNB notified that as of the reference period from September 2019, the Supervisory Benchmarking Internal Market Valuation (IMV) report should be submitted as the first modular release of Data Point Model (DPM) 2.9. The other Supervisory Benchmarking reports—Credit Risk and Market Risk—should be submitted for the first time via DPM 2.9 for reference periods of December 2019 and January 2020, respectively. The modular release of Resolution, COREP, COREP LCR DA, and FINREP reports will take place as of reference period of December 2019, March 2020, April 2020, and June 2020, respectively.
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Keywords: Europe, Netherlands, Banking, Reporting, DPM 2.9, Supervisory Benchmarking, DLR, Internal Market Valuation, Credit Risk, Market Risk, Internal Models, DNB
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