On 8 December 2022, the European Banking Authority (EBA) published a Consultation Paper: Draft Implementing Technical Standards (ITS) on amending Commission Implementing Regulation (EU) 2016/2070 with regard to the benchmarking of internal models.
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.
The EBA is consulting on the following changes:
Changes to the IFRS9 benchmarking
- For 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 high default portfolios. 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 market risk benchmarking, the most important change is the provision of new templates for the collection of the Default Risk Charge and the Residual Risk Add-On.
- For the credit risk benchmarking, the EBA is proposing to add a limited number of high default portfolios 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.
The deadline for responses to the consultation is 28 February 2023.
A public hearing on the consultation will take place on 9 February 2023 from 14:00 to 16:00 CET. The deadline for registration is 6 February at 16:00 CET.