05 June 2023
The European Banking Authority (EBA) published today its final draft Implementing Technical Standards (ITS) on the benchmarking of credit risk, market risk and IFRS9 models for the 2024 exercise. The most significant change, compared to the data collection of 2023, is the roll out for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). For market risk, new templates are added for the collection of additional information, notably the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO). For credit risk, only minor changes have been made.
The EBA benchmarking exercise ensures consistent monitoring of the variability of own funds requirements resulting from the application of internal models as well as of the impact of several supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU. As such, the exercise forms the basis of both the supervisory assessment and the horizontal analysis of the outcome of those internal models.
For the IFRS9 benchmarking, following the staggered approach presented in the IFRS 9 roadmap, the data collection and following benchmarking analysis is extended to HDP. To this end, table 104 has been added to Annex I specifying the new portfolios that will fall under the scope of the 2024 IFRS 9 benchmarking exercise and tables C115.00-C118.00 have been added to Annex VIII specifying the set of quantitative templates that will be used to collect all the relevant quantitative information.
As regards the market risk benchmarking, the most significant change compared to the current exercise is the provision of new templates for the collection of the DRC, the RRAO, and the provision of a number of validation portfolios for the Sensitivities Based Method (SBM).
For the credit risk benchmarking, a limited number of HDP portfolios is added to ensure that the credit risk and the IFRS9 templates relate to common portfolios for which the metrics specified in the different templates should be reported.
Legal basis and background
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.
HDPs as already defined for the credit risk benchmarking purposes, meaning Corporate (“CORP”), Corporates which are SMEs (SMEC), Other retail SME exposures (SMOT), Retail SMEs exposures secured by real estate (RSMS) and ii) Retail mortgages (MORT), Other retail non-SME (RETO), Retail - Qualifying revolving (RQRR).