EBA consults on amending the data collection for the benchmarking exercise in 2025

The European Banking Authority (EBA) today published a consultation paper amending the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2025 exercise. The most significant change is in the market risk framework, where the EBA is proposing brand new templates for the collection of the internal model approach (IMA) risk measures under the fundamental review of the trading book (FRTB). For credit risk only minor changes are being proposed. This consultation runs until 27 March 2024.

The EBA benchmarking exercise is the basis for both the supervisory assessment and the horizontal analysis of the outcome of internal models. It ensures consistent monitoring of the variability of own funds requirements resulting from the application of internal models as well as of the impact of the several different supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU. In this regard, this consultation paper updates the information to be collected in the 2025 exercise.

As regards the market risk benchmarking, the most important change is the provision of 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, the EBA is proposing only very minor changes. In particular, the aim is 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. Lastly, these changes also clarify the use of internal model IDs used with the Competent Authorities. 

Consultation process

Responses to the consultations can be sent to the EBA by clicking on the "send your comments" button on the consultation page.

All contributions received will be published after the consultation closes, unless requested otherwise. The deadline for the submission of comments is 27 March 2024.

A public hearing on this consultation will take place on 28 February 2024 from 15:00 to 16:00 CET. Deadline for registration is 26 February at 16:00 CET.

Legal basis

This 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.