EBA updates technical standards in view of its 2022 benchmarking of internal approaches

  • Press Release
  • 3 June 2021

The European Banking Authority (EBA) published today an update to its Implementing Technical Standards (ITS) on benchmarking of internal approaches. The updated ITS include all benchmarking portfolios and metrics that will be used for the 2022 exercise. The benchmarking exercise is an essential supervisory tool to enhance the quality of internal models, which is particularly important in a stressed economic situation.

The exercise covers approved internal approaches used for own funds requirements calculation of credit and market risk, as well as internal models used for IFRS9. 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.  This will ensure the exercise is updated with respect to the Regulation in place. In addition, some instruments have been updated and clarified, while the overall composition of the portfolio has marginally changed with respect to the 2021 exercise.

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. In addition, some enhancements were made regarding the existing data requirements.

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.

In addition, the update includes changes and clarifications that the EBA introduced based on the Consultation Paper that was published on 17 December 2020.

Finally, the EBA believes that under the current circumstances, the usefulness of this exercise has increased. From a supervisory perspective, it will help maintain the high quality of internal models. From a regulatory point of view, it will continue to be used to monitor the models’ behaviours and sensitivity to a stressed economic situation, as well as the implementation of the forthcoming regulatory products in line with the Credit Risk IRB road map and the EBA roadmap for the new market and counterparty credit risk approaches.


Draft ITS amending Commission Implementing Regulation on benchmarking of internal models

(1.33 MB - PDF) Last update 3 June 2021

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