05 May 2022
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.
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