20-09-2019 DPM 2.9 – Supervisory Benchmarking

As of reference period September 2019, the report Supervisory Benchmarking IMV (Internal Market Valuation) should be submitted as the first modular release ( see earlier news item) of DPM 2.9. The other Supervisory Benchmarking reports (Credit Risk and Market Risk) should be submitted for the first time via DPM 2.9 for reference periods December 2019 and January 2020 respectively.

The modular release of the other reports will take place as of reference period December 2019 (Resolution), reference period March 2020 (Corep), reference period April 2020 (Corep LCR DA) and reference period June 2020 (Finrep).

The most important changes in this modular release of the Supervisory Benchmarking are:

  • Split of modules

Under DPM 2.9, the SBP_CON and SBP_IND modules are split into separate modules for SBP Credit Risk (CR) and SBP Market Risk (RM). In concrete terms, this means that the COREP_CON and COREP_IND modules are removed. Instead, the new modules SBP_CR_CON, SBP_CR_IND, SBP_RM_CON and SBP_RM_IND are introduced. The reporting requirements in DLR will be adjusted accordingly.

  • Modified entrypoints

The entrypoints of all the Supervisory Benchmarking reports will change with the introduction of DPM 2.9.

The full DPM 2.9 taxonomy can be found on the EBA website.