Final draft adopted by the EBA and submitted to the European Commission
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 2023 exercise. While new instruments have been included for the 2023 market risk exercise, the credit risk IRB and IFRS 9 templates have remained untouched.
The European Banking Authority (EBA) published today phase 2 of version 3.2 of its reporting framework. The technical package supports the implementation of the updated reporting framework by providing standard specifications and includes the validation rules, the Data Point Model (DPM) and the XBRL taxonomies for version 3.2.
In particular, the updated technical package supports the amendments to supervisory benchmarking and resolution reporting, with reference dates as of September 2022 and December 2022 respectively. The package also includes some technical amendments on minimum requirement for own funds and eligible liabilities (MREL) and funding plans reporting, and updates for the reporting of one single module covering the Consolidated/Individual and IFRS/GAAP old approach.
The DPM Query Tool has also been updated to reflect the current release.
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.
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.
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.
The European Banking Authority (EBA) published today an update to its Implementing Technical Standards (ITS) which 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. The updated ITS include all benchmarking portfolios and metrics that will be used for the 2023 exercise. The benchmarking exercise is an essential supervisory tool to monitor and enhance the quality of internal models, which are relevant for the assessment of the institution’s capital adequacy.
The exercise covers approved internal ratings-based (IRB) approaches used for own funds requirements calculation of credit and market risk, as well as internal models used for IFRS9.
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. These new instruments are also accompanied by a more logical use of instruments references numbering in Annex V.
For credit risk minor changes were made to the benchmark portfolios and no changes to the data fields for reporting purposes. Minor clarifications are provided in the instructions in Annex IV on how to deal with changes in the definition of default.
No changes have been made to the IFRS 9 templates.
Finally, it is important to note that this exercise proved a useful instrument in the assessment of the impact of the COVID-19 pandemic on the banking sector. A focus of the past and coming year is the disentangling of deviations from the benchmarks which may be due to the pandemic or other business-related developments from those which may be due to the internal approaches.
In combination with the supervisory assessment that is part of the annual benchmarking exercise the benchmarking exercise supports the development and maintenance of high quality of internal models. From the regulators’ perspective, the exercise is a useful tool to monitor the models’ behaviours and sensitivity to stressed economic situation as well as the implementation of regulatory products such as the credit risk IRB roadmap and in the EBA roadmap for the new market and counterparty credit risk approaches.
During the review only Annexes I, II, IV, V, VI were amended, while Annexes III, VII, VIII, IX have remained unchanged for this year’s exercise and are thus not part of the amending regulation.
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.
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.
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.