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IMV definition for 2017 Market Risk Benchmarking exercise

In Annex V.b it is stated that the Initial Market Value (IMV) means the 'unrealized balance...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2993 | Topic : Supervisory reporting | Date of submission: 14/11/2016
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Model selection/use in context of a pending application of a significant model change

Should an institution that expects to receive approval to use a new internal market risk model f...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2946 | Topic : Supervisory reporting | Date of submission: 17/10/2016
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Annex V, Section 2.4: Market Benchmarking Portfolios. Definition of Portfolio 16 (FX)

Please confirm that the NYC Closing on 13 October 2016 should be used for the determination of t...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2942 | Topic : Supervisory reporting | Date of submission: 13/10/2016
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Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 13 (FX)

For consistency we will also use the EUR/USD ECB reference rate for the option in portfolio 13....

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2941 | Topic : Supervisory reporting | Date of submission: 13/10/2016
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Annex V, Section 1: Market Benchmarking Portfolios. Definition of Portfolio 10 (IR)

We will use 16 October 2018 as start date for the swap and thus 14 October 2018 as maturity of t...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2940 | Topic : Supervisory reporting | Date of submission: 13/10/2016
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Clarification on portfolio specification.

The Common Instructions paragraph (n) mentions that the commodities OTC options are American. Ho...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2931 | Topic : Supervisory reporting | Date of submission: 06/10/2016
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Clarification on portfolio specification.

For Portfolio 1.27 the maturity of the index option is given as 15-Apr-2017 (a Saturday). Index...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2930 | Topic : Supervisory reporting | Date of submission: 06/10/2016
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Clarification on credit portfolio specifications.

Portfolios 1.35, 1.36, 1.37: For CTPs page 16, we are being asked to book the hedges such that n...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2929 | Topic : Supervisory reporting | Date of submission: 06/10/2016
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Benchmarking portfolios: termination date

Annex V portfolio 1.28 Scheduled termination date 18 December 2021 is a non-working day (Saturda...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2920 | Topic : Supervisory reporting | Date of submission: 29/09/2016
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Benchmarking portfolios: document clause for CDS

Annex V portfolio 1.19 restructuring clause: FULL. However, we found "CR14" as the relevant docu...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2919 | Topic : Supervisory reporting | Date of submission: 29/09/2016
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EBA Benchmarking 2016

In template C 103.00 ”Details on exposures in High Default Portfolio”, column 230 and 240, it is...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2782 | Topic : Supervisory reporting | Date of submission: 10/06/2016
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Clarification on the Geographical Area breakdown

Is the list of Geographical areas (countries, macroregions) of the template C 103.00 of Annex I...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2016_2600 | Topic : Supervisory reporting | Date of submission: 29/01/2016
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Calculation of PD* and PD**

The formula provided for calculating PD* is based on a Normal approximation of the binomial conf...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2015_2481 | Topic : Supervisory reporting | Date of submission: 23/11/2015
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Clarifications on HDP benchmarking exercise instructions, templates and portfolios

1) Definition of HDPs (C103, Annex II) A clear indication of the definition of SME - CORPO...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2015_2464 | Topic : Supervisory reporting | Date of submission: 09/11/2015
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Exposure class - Corporate - Specialised Lending

Does Annex I have a value of "Corporate - Specialised Lending" for exposure class?...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Draft ITS on Supervisory Reporting for Institutions (for benchmarking the internal approaches)
ID: 2015_2418 | Topic : Supervisory reporting | Date of submission: 16/10/2015
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Exemption from bail-in of emergency liquidity assistance provided by the central bank

Does the BRRD provide for any exceptions from bail-in as regards liabilities from emergency liqu...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2435 | Topic : Recovery and Resolution | Date of submission: 20/10/2015
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Clarification on the applicable framework for public recapitalisation

We would like clarification on the applicable framework for public recapitalisation which is not...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2178 | Topic : Recovery and Resolution | Date of submission: 28/07/2015
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Coverage of further losses following bail-in

Can it be clarified as to whether in cases where there has been bail-in of at least 8% of the to...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2015_2172 | Topic : Recovery and Resolution | Date of submission: 28/07/2015
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Exclusion of corporate deposits

Can corporate deposits be excluded from bail-in in the context of Article 44 of the BRRD?...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Not applicable
ID: 2016_2953 | Topic : Recovery and Resolution | Date of submission: 19/10/2016
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FINREP reporting requirements

If an institution is currently not within the scope of FINREP (i.e. not subject to article 4 of...

COM Delegated or Implementing Acts/EBA RTS/EBA ITS/EBA GLs: Regulation (EU) No 680/2014 - ITS on supervisory reporting of institutions (as amended)
ID: 2014_1128 | Topic : Supervisory reporting | Date of submission: 29/04/2014
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Showing 1 - 20 of 1,096 results.
of 55