The European Banking Authority (EBA) updated the implementing technical standards that specify the data collection for the 2023 supervisory benchmarking exercise in relation to the internal approaches used in market risk, credit risk, and IFRS 9 accounting.
The updated standards on supervisory benchmarking exercise for 2023 include all benchmarking portfolios and metrics that will be used for the 2023 exercise. For market risk, 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 while no changes have been made to the IFRS 9 templates. 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 that may be due to the internal approaches. During the review only Annexes I, II, IV, V, VI were amended, while Annexes III, VII, VIII, IX have remained unchanged for this year’s exercise. The amended Annexes presented in these draft standards will be either replaced or added to the existing set of templates.
The updated draft standards will be submitted to the European Commission for endorsement before publication and will apply 20 days after publication in the Official Journal of the European Union. The benchmarking exercise is an essential supervisory tool to monitor and enhance the quality of internal models. The exercise is a useful tool to monitor the models’ behaviors and sensitivity to stressed economic situation as well as the implementation of regulatory products such as the credit risk internal ratings-based roadmap and in the EBA roadmap for the new market and counterparty credit risk approaches.
- Press Release on Benchmarking Exercise
- Standards on Benchmarking Exercise (PDF)
- Amended Annexes (ZIP)
Keywords: Europe, EU, Banking, Credit Risk, Market Risk, Basel, Benchmarking Exercise, Regulatory Capital, Internal Models, IRB Approach, IFRS 9, Accounting, EBA, Headline
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