- Question ID
-
2016_2946
- Legal act
- Directive 2013/36/EU (CRD)
- Topic
- Supervisory reporting - Supervisory Benchmarking
- Article
-
78
- Paragraph
-
2
- COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
- Draft ITS on Supervisory Reporting of Institutions (for benchmarking the internal approaches)
- Article/Paragraph
-
Annex V
- Type of submitter
-
Credit institution
- Subject matter
-
Model selection/use in context of a pending application of a significant model change
- Question
-
Should an institution that expects to receive approval to use a new internal market risk model following the remittance of IMVs but prior to the remittance of the risk measures submit IMVs using the old model or new?
- Background on the question
-
Our competent authority has indicated that we will receive approval to use our new model within Q4 2016. We plan to continue to run both models in parallel only until year-end 2016. This means that the data for the risk measures to be remitted for Q1 2017 will most probably be based on the new model. In view of comparability, we therefore propose to remit the IMV data (due at the beginning of Nov) based on the new model.
- Submission date
- Final answer
-
The input of an institution to the benchmarking exercise shall be based on the validated models that are used to compute the own funds requirements for market risk in accordance with the provisions of Part Three, Title IV, chapter 5 of Regulation (EU) No. 575/2013 (CRR) as of 31 December 2016.
Provided that
- the new models are validated and
- permission to use them for the purposes of the calculation of own funds requirements is granted in accordance with Article 363 CRR
before the end of year 2016, an institution shall already adopt the new models to calculate the IMV results of 27 October 2016. The same models shall be used to compute the Risk and Stressed Measures of 6 – 17 February 2017.
This shall ensure the consistency and coherence of the benchmarking results as reported in accordance with the provisions of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-exercise.
DISCLAIMER:
The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.
- Status
-
Archive
- Answer prepared by
-
Answer prepared by the EBA.
- Note to Q&A
-
Update 03.12.2021: This Q&A has been archived in the light of the most recent amendments to the ITS 2016/2070 on Supervisory Benchmarking.