08 December 2022
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
- For the IFRS9 benchmarking, following the staggered approach presented in the IFRS 9 roadmap, it is now proposed to gradually extend the data collection and following benchmarking analysis to HDP. The EBA is proposing to introduce changes to the Annexes of the ITS to specify the new portfolios that will fall under the scope of the 2024 exercise and the set of quantitative templates that will be used to collect all the relevant quantitative information.
Changes to the market risk and credit risk benchmarking
- As regards the market risk benchmarking, the most important change is the provision of new templates for the collection of the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO).
- For the credit risk benchmarking, the EBA is proposing to add a limited number of HDP to ensure the credit risk and the IFRS9 templates relate to a common list of portfolios for which the metrics specified in the different templates should be reported.
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.