ITS package for benchmarking exercises

  • Status:

These Implementing Technical Standards (ITS) specify in detail the framework for EU institutions and competent authorities to carry out the annual supervisory benchmarking foreseen by the Capital Requirements Directive (CRD IV).

The EBA plans to update these ITS annually to ensure the success and quality of future benchmarking exercises.

Key changes in the annual updates

  • For market risk benchmarking,  new templates, together with instructions, for the collection of the IMA FRTB risk measures (expected shortfall, default risk charge, and stress scenario risk measure. The EBA is also suggesting to reshape market portfolio and to expand the validation portfolios for the Alternative Standardised Approach.
  • For the credit risk benchmarking, very minor changes to clarify the mandatory nature (if applicable) of reporting the probability of default and the loss given default risk parameters concerning the Margin of Conservatism, regulatory add-on, and downturn component. These changes also clarify the use of internal model IDs used with the Competent Authorities. 

  • Roll out for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). 
  • For market risk, new templates are added for the collection of additional information, notably the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO). 
  • For credit risk, only minor changes have been made. 

  • Specify the data collection for the supervisory benchmarking exercise of 2023 in relation to the internal approaches used in market and credit risk and IFRS9 accounting. 
  • For market risk, in order to keep the exercise informative, the data collection is extended to include the collection of new instruments and portfolios, in particular those recently applied by the industry. 
  • For credit risk, minor changes were made to the benchmark portfolios and no changes to the data fields for reporting purposes.

  • For the market risk benchmarking, the framework is extended to allow the collection of new information, in particular as regards sensitivity-based-measures (SBM), in relation to the Fundamental Review of the Trading Book (FRTB) SBM measures for own funds requirements.  
  • For credit risk, a limited number of additional data fields was added to understand the level of conservatism incorporated in the risk estimates and the resulting risk weighted exposures amounts.
  • For the IFRS9 portfolios, a limited number of additional data fields has been included to collect information on additional IFRS 9 parameters, in particular the Loss Given Default (LGD). This is in line with the staggered approach communicated in the EBA IFRS 9 roadmap published in July 2019.

  • Inclusion of the IFRS9 template.
  • For credit risk some marginal changes have been applied in annex I. This now includes counterparties treated under the standardised approach, which are reported in the IFRS 9 template. In addition, institutions should report the hypothetical RWA calculated under the standardised approach  for low default portfolios (LDP) and the hypothetical RWA based on empirical default rates at the rating split level.
  • For market risk, some instruments have been updated and clarified but the overall composition of the portfolio has not changed with respect to the 2020 exercise.

  • Changes to reduce the reporting requirements, thus ensuring a more proportionate reporting burden, which will also increase stability going forward.
  • For the credit risk, the revision of the benchmarking portfolios simplifies the exercise thanks to a reduction in the number of portfolios to be reported and a closer alignment to the Common Reporting (COREP) structure, with a view to achieving stable portfolio definitions for the future.
  • For the market risk, the instruments have been updated and clarified but the overall composition of the portfolio has not been changed with respect the 2019

  • A new set of portfolios has been introduced, which are significantly simpler in their composition and consist of plain vanilla instruments.
  • For credit risk portfolios, adjustments have been made to the data requested from institutions. These changes most notably include: 1) a distinction between on- and off-balance sheet exposures, 2) adjustments to the metrics for benchmarking portfolios, 3) a new split by collateral types and 4) separation of specialised lending exposures. In addition, it should be noted that the transitional provision that allowed institutions not to report a benchmarking metric based on the Standardised Approach (SA) has expired. 

  • Minor changes and clarifications that the EBA agreed with the European Commission in advance of the its adoption of these standards. These updates do not entail any change to the policy or legal content of the technical standards but eliminate inconsistencies in wording and facilitate harmonised data submissions in April 2018.

  • Changes introduced in the instructions and templates; the relevant Annexes are replaced entirely to have a consolidated version of the updated draft ITS package. 

Summary of document history

Consultation on ITS on Supervisory Benchmarking framework for 2019

  • Status: Closed
  • Deadline: 31 JANUARY 2018
Annex 7 (Market risk templates).xls

(48.5 KB - Excel Spreadsheet) Last update 18 December 2017

Annex 4 (Credit risk reporting instructions).pdf

(213.87 KB - PDF) Last update 18 December 2017

Annex 5 (Market Risk instruments and portfolios).pdf

(253.66 KB - PDF) Last update 18 December 2017

Consultation Paper on ITS amending Com Impl. Regulation EU 2016-2070 on Benchmarking (EBA-CP-2017-23)

(219.88 KB - PDF) Last update 18 December 2017

Annex 6 (Market risk template reporting instructions).pdf

(107.31 KB - PDF) Last update 18 December 2017

Annex 1 (Credit risk portfolios).xlsx

(8.56 MB - Excel Spreadsheet) Last update 18 December 2017

Annex 3 (Credit risk reporting templates).xlsx

(127.43 KB - Excel Spreadsheet) Last update 18 December 2017

Annex 2 (Credit risk portfolio definitions).pdf

(93.31 KB - PDF) Last update 18 December 2017


The form is now closed.

Press contacts

Franca Rosa Congiu