EBA launches consultation to amend Regulation on benchmarking of internal models

18 December 2018

The proposed changes aim at simplifying the portfolio's structure for the credit risk part of the exercise, and getting more insights into the model used for pricing for the market risk part of the exercise.

Based on the feedback received from the recent interactions with institutions, the EBA's proposals included in this Consultation Paper aim at facilitating the reporting for the credit risk portfolios. The simplification of the structure of the data collection as well as the reduction of the number of portfolios is expected to enhance the data quality. Furthermore, the objective is to keep the structure of the portfolios stable for the 2021 exercise.

The main changes in the definitions of the credit risk portfolios are:

• a reduction in the number of portfolios to be submitted,
• a simplification and alignment in the structure of the portfolios to be submitted and
• a number of technical refinements, such as the inclusion of covered bonds, an update of the ILTV, NACE and CRM split, and the introduction of a sub sample of large corporates with revenue below or above 500m€.

The EBA is also proposing minor consistency updates as well as a data collection of the sensitivities aiming at further improving the data quality.

Responses to this consultation can be sent to the EBA by 1 February 2019. A public hearing will take place at the EBA premises on 25 January 2018 from 14:00 to 15:30 UK time.

Press release

Consultation paper

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