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18 December 2017

EBA consults on amended technical standards on benchmarking of internal models


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The European Banking Authority launched 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 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.

Press release

Consultation paper



© EBA


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