European Banking Authority Consults on Amended Technical Standards for Benchmarking of Internal Models Under the Capital Requirements Directive
12/18/2017The European Banking Authority has launched a consultation on proposals to amend the Implementing Technical Standards specifying the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercise by those institutions that use internal approaches for market and credit risk.
Feedback gathered by the EBA from institutions and national regulators suggest that changes to the ITS on benchmarking of internal models are needed to provide clearer instructions of reporting requirements, better data validation and more relevant portfolios for which benchmark values can be calculated. The changes proposed by the EBA relate to both market risk and credit risk. Minor changes are also proposed to the reporting templates and instructions, to keep the portfolios up to date and ensure the reported data is relevant for the 2019 assessment.
Comments on the proposals are invited by January 31, 2018. The EBA also plans to hold a public hearing to discuss the proposals on January 23, 2018.
The EBA intends that the revised benchmarking portfolios and reporting requirements will be applicable for the submission of initial market valuation data in Q3 2018 and of other market and credit risk data in 2019.
View the consultation paper.
View Annex 1 – Annex 7.