EBA欧洲银行-ITS-package-for-2019-benchmarking-exercise-FAQ-v1.1_3页_219kb

EBA ITS Package for 2019 Benchmarking Exercise Summary

Core Content

The document provides a summary of frequently asked questions (FAQs) related to the EBA Internal Transaction (ITS) package for the 2019 benchmarking exercise. It aims to clarify ambiguities and inconsistencies in the reporting requirements for market risk and other related data. The information is organized into sections, with specific questions and corresponding answers to guide institutions in their reporting obligations.

Main Questions and Answers

Market Risk

1. Inconsistency in Dates for Booking, Valuation, and Submission

   • Question: There appears to be inconsistency in the dates used for booking, valuation, and submission of data.
   • Answer:
     • Initial Market Valuation:
       • Booking of the trades: 19 September 2018 at 5:30 pm CET
       • Valuation of the trades: 26 September 2018 at 5:30 pm CET
       • Submission to competent authorities: by 5 October 2018
     • Risk Measures:
       • Computed from 21 January 2019 to 1 February 2019
       • Submission to competent authorities: by 28 February 2019

2. Reporting by Instrument or Portfolio

   • Question: The instructions in Annex 6 (C 106.00) refer to "instrument," whereas the DPM taxonomy labels still use "portfolio."
   • Answer: Institutions should report the Initial Market Valuation by instrument, using the instrument number from Annex 5.

Other Questions

1. Default Rate Zero and p- Calculation

   • Question: When the default rate of a specific grade is zero, the value of p- is not defined.
   • Answer: If the default rate for one year (DR1Y) is zero, then p- = 0. Similarly, if DR5Y is zero, then p-- = 0.

2. Reporting of RWA and RWA*

   • Question: RWA* and RWA** are no longer present in Annex IV (instructions) but are still included in Annex III (template).
   • Answer: These columns should not be filled as they are no longer required in the instructions.

Key Information

• The EBA ITS package for the 2019 benchmarking exercise includes detailed instructions and templates for reporting market risk and other related data.
• The dates for booking, valuation, and submission are specified to ensure consistency in the reporting process.
• The reporting unit for the Initial Market Valuation has been updated from "portfolio" to "instrument" in certain sections, and institutions should follow this change.
• If the default rate is zero, the corresponding p- or p-- value should be set to zero to align with the regulatory requirements.
• The RWA and RWA* columns in Annex III should be left blank, as they are not included in the updated instructions.

This summary provides a clear overview of the key points and clarifications required for the 2019 benchmarking exercise under the EBA ITS package. Institutions should refer to the document for detailed guidance and ensure compliance with the specified dates and reporting units.