Final draft adopted by the EBA and submitted to the European Commission
The amended European Commission’s Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models so as to include some new elements for the 2024 exercise. The most significant change is the roll out of the data collection for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP).
The European Banking Authority (EBA) published today the technical package for phase 2 of version 3.3 of its reporting framework. The technical package provides standard specifications and includes the validation rules, the Data Point Model (DPM) and the XBRL taxonomies for this phase of version 3.3.
Phase 2 of version 3.3 consists of the technical package supporting the supervisory benchmarking exercise 2024 (end-2023 data). The package includes the new market risk and IFRS9 templates, and other amendments to the Supervisory Benchmarking Portfolios framework, as specified in the amending Implementing Technical Standards (ITS) for the 2024 benchmarking exercise.
The DPM Query Tool has also been updated to reflect the current release.
The European Banking Authority (EBA) publishes today a consultation paper to amend the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2024 exercise. The most significant change is the roll out of the data collection for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). For market risk it is proposed to add new templates 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 are proposed.
The EBA benchmarking exercise forms the basis for both, supervisory assessment and horizontal analysis on 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 on the impact of the several different supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU.
Changes to the IFRS9 benchmarking
Changes to the market risk and credit risk benchmarking
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 28 February 2023.
A public hearing on this consultation will take place on the 9 February 2023 from 14:00 to 16:00 CET. Deadline for registration is 6 February at 16:00 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. The latter 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 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.
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).
The European Banking Authority (EBA) publishes today a consultation paper to amend the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2024 exercise. The most significant change is the roll out of the data collection for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP). For market risk it is proposed to add new templates 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 are proposed.
The EBA benchmarking exercise forms the basis for both, supervisory assessment and horizontal analysis on 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 on the impact of the several different supervisory and regulatory measures, which influence the capital requirements and solvency ratios in the EU.
Changes to the IFRS9 benchmarking
Changes to the market risk and credit risk benchmarking
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 28 February 2023.
A public hearing on this consultation will take place on the 9 February 2023 from 14:00 to 16:00 CET. Deadline for registration is 6 February at 16:00 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. The latter are used by competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.