EBA Publishes Updated Package for 2020 Internal Model Benchmarking
EBA updated the implementing technical standards on benchmarking of internal approaches in EU. The implementing standards include all benchmarking portfolios that will be used for the 2020 benchmarking exercise. The draft implementing standards will be submitted to EC for endorsement, before being published in the Official Journal of the European Union. The technical standards will apply 20 days after publication in the Official Journal. These revised benchmarking portfolios and reporting requirements are expected to be applicable to the submission of initial market valuation, or IMV, data in the third quarter of 2019 and of other market and credit risk data in 2020—that is, with a reference date of December 31, 2019.
This update includes changes and clarifications, which reflect the comments received during the consultation that was launched on December 18, 2018. A number of changes reduce the reporting requirements, thus ensuring a more proportionate reporting burden, which will also increase stability going forward. For the market risk benchmarking, the instruments have been updated and clarified but the overall composition of the portfolio has not been changed with respect to the 2019. For the credit risk portfolios, the revision of the benchmarking portfolios simplifies the exercise, owing to a reduction in the number of portfolios to be reported and a closer alignment to the Common Reporting (COREP) structure, with a view to achieving stable portfolio definitions for the future.
The Capital Requirements Directive (CRD IV) requires competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements. To assist competent authorities in this assessment, EBA calculates and distributes benchmark values against which risk parameters of individual institutions can be compared. These benchmark values are based on data submitted by institutions as laid out in Regulation (EU) 2016/2070, which specifies the benchmarking portfolios, templates, and definitions to be used in the annual benchmarking exercises. For the 2020 benchmarking exercise, changes to the market risk and credit risk portfolios and to the reporting templates and instructions are necessary to keep the portfolios up to date and the reported data relevant for this assessment. The supporting technical package consisting of the data point model (DPM), the validation rules, and the taxonomy are being prepared simultaneously and will be published at a later stage.
Related Links
Keywords: Europe, EU, Banking, Internal Models, 2020 Benchmarking, Benchmarking, Credit Risk, Market Risk, CRD IV, Proportionality, EBA
Featured Experts
Dieter Van der Stock
IFRS subject matter expert; accounting authority; risk management specialist
Previous Article
FED Proposes to Extend Information Collection on Leveraged LendingRelated Articles
|
News
EIOPA Forms Consultative Expert Group on Digital Ethics in InsuranceEIOPA established the Consultative Expert Group on Digital Ethics in Insurance to assist EIOPA in the development of digital responsibility principles in insurance.
September 17, 2019
WebPage
Regulatory News
|
|
News
FASB Proposes Taxonomy Changes Related to Topics 848 and 470FASB proposed taxonomy improvements for the proposed Accounting Standards Update on topic 848 on facilitation of effects of reference rate reform on financial reporting.
September 16, 2019
WebPage
Regulatory News
|
|
News
BoE Statement on Recalculating Transitional Measures Under Solvency IIBoE notified that it will be willing to accept applications from firms to recalculate transitional measure on technical provisions (TMTP) as at September 30, 2019.
September 16, 2019
WebPage
Regulatory News
|
|
News
BIS Hosts Conference to Discuss Issues from Emergence of StablecoinsBIS hosted a conference in Basel to discuss policy and regulatory issues posed by the emergence of stablecoin initiatives backed by financial institutions and large technology companies.
September 16, 2019
WebPage
Regulatory News
|
|
News
BIS Paper on Embedded Supervision of Blockchain-Based Financial MarketBIS published a working paper that investigates ways to regulate and supervise blockchain-based financial markets.
September 16, 2019
WebPage
Regulatory News
|
|
News
BoE Paper on Market-Implied Systemic Risk and Shadow Capital AdequacyBoE published a working paper that presents a forward-looking approach to measure systemic solvency risk.
September 13, 2019
WebPage
Regulatory News
|
|
News
HKMA Consults on Policy Module on Pillar 2 Supervisory Review ProcessHKMA is consulting on the revised Supervisory Policy Manual module CA-G-5 that sets out the HKMA approach to conducting the supervisory review process under Pillar 2.
September 13, 2019
WebPage
Regulatory News
|
|
News
PRA Publishes Waiver by Consent of Continuity of Access RulesPRA published a new waiver by consent to waive the Continuity of Access requirements contained in the Depositor Protection Part of the PRA Rulebook (DPP).
September 13, 2019
WebPage
Regulatory News
|
|
News
EBA Single Rulebook Q&A: Second Update for September 2019EBA updated the Single Rulebook question and answer (Q&A) tool with answers to three questions.
September 13, 2019
WebPage
Regulatory News
|
|
News
BoE Publishes Update on Meeting of Working Group on Risk-Free RatesBoE published the minutes of the July meeting of working group on sterling risk-free reference rates.
September 13, 2019
WebPage
Regulatory News
|
