Benchmarking of initial market valuation: every EBA validation rule in plain words (SBP IMV)

Supervisory benchmarking is the yearly exercise in which banks with internal models run them over the same benchmark portfolios, so supervisors can spot models that come out far from their peers. It rests on Article 78 of the Capital Requirements Directive. Credit risk and IFRS 9 data are usually due on 11 April, in a set of EBA templates (C 101.00 to C 120.06).

EBA's 4.2 package has 2 validation rules for it. Line4 Check runs 2 of them (2 written-out checks): 0 can block a filing and 2 are warnings.

2rules Line4 Check runs

0can block a filing

2warnings

2written-out checks

The rules, by template

Each rule in plain words, its code in brackets. Open one for what to do if your filing fails it. A rule that reads more than one template is listed under the first.

Nature of Report (SBP) (S 00.01)2 rules

Templates with no rule of their own

Rules on other templates can still read them.

Initial Market Valuation and exclusion justification (C 106.00)
Risk sensitivities by Instrument (C 106.01)
SBM. OFR composition by SBM validation portfolio (C 106.02)

Checks like this one, run at the point of submission, are the first step to real-time supervision. See every return on EBA validation rules in plain words.