Model selection/use in context of a pending application of a significant model change

The input of an institution to the benchmarking exercise shall be based on the validated models that are used to compute the own funds requirements for market risk in accordance with the provisions of Part Three, Title IV, chapter 5 of Regulation (EU) No. 575/2013 (CRR) as of 31 December 2016. Provided that the new models are validated and permission to use them for the purposes of the calculation of own funds requirements is granted in accordance with Article 363 CRR before the end of year 2016, an institution shall already adopt the new models to calculate the IMV results of 27 October 2016. The same models shall be used to compute the Risk and Stressed Measures of 6 – 17 February 2017. This shall ensure the consistency and coherence of the benchmarking results as reported in accordance with the provisions of the Draft ITS on Supervisory Reporting for Institutions for benchmarking the internal approaches (ITS on benchmarking) for the 2017-exercise.   DISCLAIMER: The present Q&A on Supervisory reporting is provisional. It will be reviewed after the Implementing Regulation is in force and published in the Official Journal. The text of the Implementing Regulation may differ from the text of the draft ITS to which this Q&A refers.