Regulatory Alerts2021-12-15 | NBB_2021_31Added · Updated
Circular NBB_2021_31 / EBA Guidelines of 13 July 2021 specifying criteria for input data in the risk measurement model under Article 325f of Regulation (EU) No 575/2013
The National Bank of Belgium integrates the European Banking Authority's guidelines on input data criteria for the Internal Model Approach for Funding Risks into its supervisory practice, effective 1 January 2022. These guidelines apply to Belgian credit institutions, approved financial companies, and significant Belgian broker-dealers, requiring input data to be accurate, appropriate, sufficiently updated, and complete. Institutions must reconcile data with verifiable prices or market systems, update calibration data more frequently than monthly if necessary, and ensure data reflects risk factor distributions and dependency structures. The circular specifically outlines the National Bank of Belgium's approach for less significant institutions while recommending that significant institutions supervised directly by the ECB follow these same standards.