ITS package for 2022 benchmarking exercise

Under development

The amended Commission’s Implementing Regulation on benchmarking of credit risk, market risk and IFRS9 models so as to include some new elements for the 2022 exercise. For each of the three areas, the ITS should include the following new elements: i) for credit risk, additional information on the level of conservatism embedded in the IRB risk parameters; iii) for market risk, new sensitivities related to the so-called sensitivities-based method, in line with the new FRTB framework; and iii) for the IFRS9 exercise, updated templates with the collection of additional IFRS 9 parameters.

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