Featured Product

    EC Regulation Amends Technical Standards on Benchmarking Exercise

    November 19, 2021

    The European Commission (EC) published Regulation 2021/1971 that sets out the implementing technical standards for templates, definitions, and IT solutions to be used by institutions when reporting to the European Banking Authority (EBA) and to the competent authorities in accordance with the Capital Requirements Directive (CRD IV). Regulation 2021/1971 amends Regulation 2016/2070 on benchmarking of internal models. With this amendment, annexes to Regulation 2016/2070 have been replaced by annexes to the Regulation 2021/1971, which shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

    Regulation 2016/2070 specifies the reporting requirements for institutions to enable the competent authorities to monitor the range of risk-weighted exposure amounts or own funds requirements for exposures or transactions in the benchmark portfolio resulting from the internal approaches and to assess those approaches (the benchmarking exercise). For the credit risk analysis, previous benchmarking exercises highlighted some potential for improving both the definition of the benchmarking portfolios and the reporting instructions. In addition, the previous benchmarking exercises demonstrated that the number of portfolios reported and their complexity were a strong impediment to the quality of the data reported. Additionally, suggestions and feedback from institutions taking part in the past market risk benchmarking exercises showed the need to amend certain definitions of the instruments for the market risk exercise laid down in Annex V to Regulation 2016/2070. Thus, given the previous feedback and experiences and the need to improve the quality of reported data and to obtain more accurate benchmark values, the benchmarking portfolios are being revised along these three lines via Regulation 2021/1971: decrease in the number of benchmark portfolios, simplified design of the benchmark portfolios, and better, more stable benchmark portfolio definitions.


    Related Link: Regulation 2021/1971 (PDF)

    Effective Date: December 09, 2021

    Keywords: Europe, EU, Banking, Reporting, Implementing Technical Standards, Benchmarking Exercise, CRD IV, Credit Risk, Market Risk, Basel, Internal Model Approach, Internal Models, EBA

    Featured Experts
    Related Articles

    EBA Proposes Standards for IRRBB Reporting Under Basel Framework

    The European Banking Authority (EBA) proposed implementing technical standards on the interest rate risk in the banking book (IRRBB) reporting requirements, with the comment period ending on May 02, 2023.

    January 31, 2023 WebPage Regulatory News

    FED Issues Further Details on Pilot Climate Scenario Analysis Exercise

    The U.S. Federal Reserve Board (FED) set out details of the pilot climate scenario analysis exercise to be conducted among the six largest U.S. bank holding companies.

    January 17, 2023 WebPage Regulatory News

    US Agencies Issue Several Regulatory and Reporting Updates

    The Board of Governors of the Federal Reserve System (FED) adopted the final rule on Adjustable Interest Rate (LIBOR) Act.

    January 04, 2023 WebPage Regulatory News

    ECB Issues Multiple Reports and Regulatory Updates for Banks

    The European Central Bank (ECB) published an updated list of supervised entities, a report on the supervision of less significant institutions (LSIs), a statement on macro-prudential policy.

    January 01, 2023 WebPage Regulatory News

    HKMA Keeps List of D-SIBs Unchanged, Makes Other Announcements

    The Hong Kong Monetary Authority (HKMA) published a circular on the prudential treatment of crypto-asset exposures, an update on the status of transition to new interest rate benchmarks.

    December 30, 2022 WebPage Regulatory News

    EU Issues FAQs on Taxonomy Regulation, Rules Under CRD, FICOD and SFDR

    The European Commission (EC) adopted the standards addressing supervisory reporting of risk concentrations and intra-group transactions, benchmarking of internal approaches, and authorization of credit institutions.

    December 29, 2022 WebPage Regulatory News

    CBIRC Revises Measures on Corporate Governance Supervision

    The China Banking and Insurance Regulatory Commission (CBIRC) issued rules to manage the risk of off-balance sheet business of commercial banks and rules on corporate governance of financial institutions.

    December 29, 2022 WebPage Regulatory News

    HKMA Publications Address Sustainability Issues in Financial Sector

    The Hong Kong Monetary Authority (HKMA) made announcements to address sustainability issues in the financial sector.

    December 23, 2022 WebPage Regulatory News

    EBA Updates Address Basel and NPL Requirements for Banks

    The European Banking Authority (EBA) published regulatory standards on identification of a group of connected clients (GCC) as well as updated the lists of identified financial conglomerates.

    December 22, 2022 WebPage Regulatory News

    ESMA Publishes 2022 ESEF XBRL Taxonomy and Conformance Suite

    The General Board of the European Systemic Risk Board (ESRB), at its December meeting, issued an updated risk assessment via the quarterly risk dashboard and held discussions on key policy priorities to address the systemic risks in the European Union.

    December 22, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8699