Consultation paper on ITS on amending Commission Implementing Regulation on benchmarking of internal models

The European Banking Authority (EBA) launched today a consultation on the amendment of the Implementing Regulation for the 2023 benchmarking of internal approaches used in credit risk and market risk. While new instruments have been included for the 2023 market risk exercise, the credit risk IRB and IFRS 9 templates have remained untouched. However, for the IRB relevant data collection, some clarifications in the instructions are proposed and some issues are discussed with a view to apply future amendments to the ITS. The consultation runs until 18 February 2022.

The EBA benchmarking exercise forms the basis for both supervisory assessment and horizontal analysis of internal models. It ensures a consistent monitoring of the impact of the several different supervisory and regulatory measures aiming at the harmonisation of the capital requirements in the EU. In this regard, this consultation paper provides an annual update to the information collected.

For credit risk there are no changes to the benchmark portfolios nor to the data fields to be reported for the benchmark portfolios. Minor clarifications are provided in the instructions in Annex IV on how to deal with changes in the definition of default (where this is relevant for a required data field). In addition, the consultation paper contains a more general question on the reporting of historical losses with a view on a potential update of the data requirements in a future update of the ITS. 

For market risk, to keep the exercise informative, the consultation paper is proposing to extend the data collection, so as to include new instruments and portfolios, in particular as regards the instruments and portfolios that have lately been applied by the industry in a similar exercise.

No changes have been made to the IFRS 9 templates.

Consultation process

Responses to the consultations can be sent to the EBA by clicking on the "send your comments" button on the consultation page. The deadline for the submission of comments is 18 February 2022.

All contributions received will be published after the consultation closes, unless requested otherwise.

A public hearing on this consultation will take place on 3 February 2022 from 11:00 to 13:00 CET.

Legal basis

These draft ITS have been developed in accordance with article 78 of the Capital Requirements Directive (CRD), which requires the EBA to specify the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises. These are used by competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.