The European Banking Authority (EBA) launched today a consultation to amend the Commission Implementing Regulation on benchmarking of internal models to adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise the EBA will carry out in 2019. The proposed changes reduce uncertainties in the credit risk portfolios, thus aiming at fostering a common and coherent interpretation and implementation of the reporting requirements across EU institutions. The consultation will run until 31 January 2018.
Based on the feedback received from the recent interactions with institutions, the proposals included in this Consultation Paper aim at enhancing the market risk portfolios, as well as at simplifying some hypothetical trades. Minor changes to the reporting templates and instructions have been included to keep the portfolios up to date and the reported data relevant for the 2019 assessment.
These revised benchmarking portfolios and reporting requirements are expected to be applicable for the submission of initial market valuation data in Q3 2018 and of other market and credit risk data in 2019 (i.e. with reference date 31 December 2018).
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 31 January 2018.
A public hearing will take place at the EBA premises on 23 January 2018 from 11:00 to 12:30 UK time.
Legal basis and background
Article 78 of the Capital Requirements Directive (CRD) 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, the EBA calculates and distributes benchmark values against which individual institutions' risk parameters can be compared. These benchmark values are based on data submitted by institutions as laid out in the Capital Requirements Regulation (CRR), which specifies the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises.