Adjusted dates regarding Market Risk Benchmarking reports IMV and RM (relevant only for banks with an internal model approach to market risk)

Due to the postponement of the implementation of the FRTB framework (the revised trading book capital standard), the dates for submission of the IMV and RM reports have been adjusted. These can be found in Annex 2 of the EBA draft ITS on benchmarking of internal models:

The following dates shall apply for the ‘benchmarking’ exercise:

• the booking date shall be 30 January 2025;
• the IMV (and initial SBM) reference date shall be 6 February 2025 (at 5:30 pm CET);
• the IMV (and initial SBM, and SBM validation) remittance date shall be 28 February 2025;
• the RM initial reference date shall be 2 June 2025;
• the RM (and final ASA) final reference date shall be 13 June 2025;
• the RM (and final ASA) remittance date shall be 18 July 2025

Due to system constraints, we have chosen to set the ‘technical’ reference date of the IMV report to 31 January. This means that the report will be visible in Reporting Service (Dienst Rapportages) as of 1 February. Please note that this change only concerns the technical reference date and does not affect the actual content of the requested information based on the booking date and reference date (06/02) as defined in the ITS. No technical adjustment to the reference date is required for RM reporting.

If you have any questions, please call your contact person for reporting issues at DNB.