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.
Related Links
Keywords: Europe, Netherlands, Banking, Reporting, DPM 2.9, Supervisory Benchmarking, DLR, Internal Market Valuation, Credit Risk, Market Risk, Internal Models, DNB
Featured Experts
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Pierre-Etienne Chabanel
Brings expertise in technology and software solutions around banking regulation, whether deployed on-premises or in the cloud.
Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.
Related Articles
APRA Updates Validation and Derivation Rules in September 2020
APRA updated the lists of the Direct to APRA (D2A) validation and derivation rules for authorized deposit-taking institutions, insurers, and superannuation entities.
EC Proposes Frameworks for Crypto-Assets and Operational Resilience
EC adopted a package that includes the digital finance and retail payments strategies and the legislative proposals for regulatory frameworks on crypto-assets and digital operational resilience.
ECB Publishes Opinion on Proposals to Amend Securitization Framework
ECB published an opinion (CON/2020/22) on proposals for regulations amending the securitization framework of EU, in response to the COVID-19 pandemic.
FCA Consults on Regulation of International Firms in UK
FCA is consulting on its approach to the authorization and supervision of international firms operating in UK.
MAS Amends Notice on Capital Adequacy Requirements of Banks
MAS published amendments to Notice 637 on the risk-based capital adequacy requirements for reporting banks incorporated in Singapore.
FCA to Begin to Move Firms to New Data Collection Platform RegData
FCA announced that it will move firms to RegData from Gabriel in the coming months in stages, based on the reporting requirements of firms.
ISDA Expects IBOR Fallbacks to be Effective by End of January 2021
ISDA issued a letter to regulators to flag that it now expects the supplement to the 2006 ISDA Definitions and the Interbank Offered Rate (IBOR) Fallbacks Protocol to be effective around mid- to late-January 2021.
APRA Reviews Repayment Deferral Plans, Identifies Best Practices
APRA has concluded its review of the comprehensive plans of authorized deposit-taking institutions for the assessment and management of loans with repayment deferrals.
ESAs Assess Risks to Financial Sector After COVID-19 Outbreak
ESAs (EBA, EIOPA, and ESMA) published the first joint report that assesses risks in the financial sector since the outbreak of the COVID-19 pandemic.
BoE Confirms Withdrawal of COVID Corporate Financing Facility
BoE and HM Treasury confirmed that the COVID Corporate Financing Facility (CCFF) will close for new purchases of commercial paper, with effect from March 23, 2021.
