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
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