EBA updated the list of institutions that have a reporting obligation for the EU supervisory benchmarking exercise in 2020. EBA runs this exercise leveraging on established data collection procedures and formats of regular supervisory reporting. The exercise assists competent authorities in assessing the quality of internal approaches used to calculate risk-weighted exposure amounts.
Internal approaches used for the calculation of own funds requirements for market and credit risks are subject to an annual assessment by the competent authorities. EBA assists competent authorities in their assessment by providing a report, which includes benchmarks that help identify any material differences in risk-weighted asset outcomes. The legal basis for the benchmarking exercises is laid down in the Capital Requirements Directive (CRD), in particular Article 78, in addition to the following technical standards provided by EBA:
- Regulatory Technical Standards on the assessment of the internal approaches adopted by institutions and the procedures for sharing those assessments between competent authorities
- Implementing Technical Standards specifying the benchmarking portfolios and reporting instructions for institutions to be applied in the annual benchmarking exercises
Keywords: Europe, EU, Banking, Benchmarking Exercise, Reporting, Internal Models, Credit Risk, Market Risk, CRD, EBA
Previous ArticleFINMA Announces 64 Banks Meet Criteria for Small Banks Regime
APRA issued a letter on the loss-absorbing capacity (LAC) requirements for domestic systemically important banks (D-SIBs) and published a discussion paper, along with the proposed the prudential standards on financial contingency planning (CPS 190) and resolution planning (CPS 900).
The European Commission (EC) launched a call for evidence, until March 18, 2022, as part of a comprehensive review of the macro-prudential rules for the banking sector under the Capital Requirements Regulation (CRR) and Directive (CRD IV).
The Financial Stability Board (FSB) published a report that sets out good practices for crisis management groups.
The Australian Prudential Regulation Authority (APRA) found that Heritage Bank Limited had incorrectly reported capital because of weaknesses in operational risk and compliance frameworks, although the bank did not breach minimum prudential capital ratios at any point and remains well-capitalized.
The Office of the Superintendent of Financial Institutions (OSFI) released the annual report for 2020-2021.
Through a letter addressed to the banking sector entities, the Office of the Superintendent of Financial Institutions (OSFI) announced deferral of the domestic implementation of the final Basel III reforms from the first to the second quarter of 2023.
EIOPA recently published a letter in which EC is informing the European Parliament and Council that it could not adopt the set of draft regulatory technical standards for disclosures under the Sustainable Finance Disclosure Regulation (SFDR) within the stipulated three-month period, given their length and technical detail.
The Financial Conduct Authority (FCA) published the third in a series of policy statements that set out rules to introduce the UK Investment Firm Prudential Regime (IFPR), which will take effect on January 01, 2022.
The Australian Prudential Regulation Authority (APRA) published, along with a summary of its response to the consultation feedback, an information paper that summarizes the finalized capital framework that is in line with the internationally agreed Basel III requirements for banks.
The Committee on Payments and Market Infrastructures (CPMI) and the International Organization of Securities Commissions (IOSCO) issued a consultative report focusing on access to central counterparty (CCP) clearing and client-position portability.