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
María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer
Dieter Van der Stock
IFRS subject matter expert; accounting authority; risk management specialist
Previous Article
EBA Amends Supervisory Reporting Standards for FINREPRelated Articles
|
News
APRA to Transition to Annual Stress Testing of Large Banks in 2020APRA published key findings of the stress testing assessment conducted on authorized deposit-taking institutions.
February 21, 2020
WebPage
Regulatory News
|
|
News
EC Consults on Review of Non-Financial Reporting DirectiveEC is launched a consultation on the review of the Non-Financial Reporting Directive or NFRD (Directive 2014/95/EU, as part of its strategy to strengthen sustainable investment in Europe.
February 20, 2020
WebPage
Regulatory News
|
|
News
EIOPA Consults on Standards for Supervisory Reporting Under PEPP RuleEIOPA is consulting on the implementing technical standards for supervisory reporting and cooperation, as mandated by the Pan-European Personal Pension Product (PEPP) Regulation (Regulation 2019/1238).
February 20, 2020
WebPage
Regulatory News
|
|
News
ECB Report on Transfer of Liquidity from EONIA Products to €STRECB published a report on the transfer of liquidity from the cash and derivatives products of the Euro Overnight Index Average (EONIA) to the Euro Short-Term Rate (€STR).
February 19, 2020
WebPage
Regulatory News
|
|
News
ESRB Publishes Report on Systemic CyberattacksESRB published a report that explores systemic implications of cyber incidents, such as cyberattacks.
February 19, 2020
WebPage
Regulatory News
|
|
News
FSB Chair Sets Out Key Deliverables for G20 Presidency of Saudi ArabiaFSB published a letter from the Chair Randal K. Quarles to the G20 finance ministers and Central Bank governors ahead of the meetings in Riyadh on February 22-23.
February 19, 2020
WebPage
Regulatory News
|
|
News
CFTC Proposes Rules on Derivative Position Limits and Swap ExecutionCFTC approved a proposed rule on position limits for derivatives and a proposed rule amending requirements for certain Swap Execution Facilities and real-time reporting.
February 19, 2020
WebPage
Regulatory News
|
|
News
BIS Appoints Heads of Innovation Hubs in Singapore and SwitzerlandBIS announced key personnel appointments to the Innovation Hubs in Singapore and Switzerland.
February 19, 2020
WebPage
Regulatory News
|
|
News
BOJ Deputy Governor Speaks on Interest Rate Benchmark Reform in JapanThe Deputy Governor of BOJ Masayoshi Amamiya spoke in Tokyo about how Japan should proceed with interest rate benchmark reform over the next two years until the end of 2021, when the discontinuation of LIBOR is expected.
February 19, 2020
WebPage
Regulatory News
|
|
News
OSFI Proposes New Benchmark Rate for Qualifying Uninsured MortgagesOSFI announced that it is considering a new benchmark rate for determining the minimum qualifying rate for uninsured mortgages.
February 18, 2020
WebPage
Regulatory News
|
