EBA Updates the 2021 Benchmarking Package to Include IFRS 9 Template
EBA updated the implementing technical standards on benchmarking of internal approaches of banks. The key update is the inclusion of the IFRS 9 template. The updated implementing technical standards include all benchmarking portfolios that will be used for the 2021 exercise. These revised benchmarking portfolios and reporting requirements are expected to be applicable to the submission of initial market valuation data in the third quarter of 2020 and of other market and credit risk data in 2021 (with a reference date of December 31, 2020).
For the 2021 benchmarking exercise, changes to the reporting templates and instructions are necessary to integrate the subset of templates dedicated to the benchmarking of IFRS 9. The collection of quantitative data on the IFRS 9 parameters will contribute to gathering a better understanding of the different methodologies, models, inputs, and scenarios, which could lead to material inconsistencies in expected credit loss outcomes and affect own funds and regulatory ratios. The initial focus of the analysis is on the probability of default parameter, particularly the following three aspects:
- The analysis of the variability of the probability of default parameter estimated over a default horizon of 12 months
- Variability of the macroeconomic forecasts and the interaction between the lifetime probability of default curve and the macro-economic scenarios used for determining the expected credit loss
- Variability of practices in the assessment of significant increases in credit risk, also known as SICR
On the credit risk side, neither new portfolios nor new data points have been added compared to the 2020 exercise. However, some marginal changes have been applied in the credit risk portfolio annex. It now includes counterparties treated under the standardized approach, which are reported in the IFRS 9 template. Institutions should report the hypothetical risk-weighted assets calculated under the standardized approach for low-default portfolios and the hypothetical risk-weighted asset based on empirical default rates at the rating split level. For the market risk benchmarking, some instruments are updated and clarified but the overall composition of the portfolio did not change with respect to the 2020 exercise. The update also includes changes and clarifications that the EBA introduced based on the consultation paper that was published on December 17, 2019.
EBA believes that the usefulness of this exercise increased, under the current circumstances. From a supervisory perspective, it will help maintain the high quality of internal models. From the regulatory point of view, it will continue to be used to monitor the behavior and sensitivity of models to a stressed economic situation. The draft implementing technical standards will be submitted to EC for endorsement before being published in the Official Journal of the European Union and will apply 20 days after publication in the Official Journal. The supporting technical package consisting of the data point model (DPM), the validation rules, and the taxonomy are being prepared simultaneously and will be published at a later stage.
Related Links
Keywords: Europe, EU, Banking, Implementing Technical Standards, Benchmarking Exercise, CRD IV, Credit Risk, IFRS 9, Expected Credit Loss, Internal Models, Reporting, Market Risk, EBA
Featured Experts

María Cañamero
Skilled market researcher; growth strategist; successful go-to-market campaign developer

Nicolas Degruson
Works with financial institutions, regulatory experts, business analysts, product managers, and software engineers to drive regulatory solutions across the globe.

Dieter Van der Stock
IFRS subject matter expert; LDTI subject matter expert; accounting authority; risk management specialist
Previous Article
BDF Updates Information on Controls for AnaCredit ReportingRelated Articles
CFPB Finalizes Rule on Small Business Lending Data Collection
The Consumer Financial Protection Bureau (CFPB) published a final rule that sets out data collection requirements on small business lending, under section 1071 of the Dodd-Frank Act.
BCBS to Consult on Pillar 3 Climate Risk Disclosures by End of 2023
The Bank for International Settlements (BIS) published a summary of the recent Basel Committee (BCBS) meetings.
FINMA Approves Merger of Credit Suisse and UBS
The Swiss Financial Market Supervisory Authority (FINMA) has approved the takeover of Credit Suisse by UBS.
BOE Sets Out Its Thinking on Regulatory Capital and Climate Risks
The Bank of England (BOE) published a working paper that aims to understand the climate-related disclosures of UK financial institutions.
US Congress Report Examines Data Privacy and Cybersecurity Regulations
The U.S. Congressional Research Service published a report on banking, data privacy, and cybersecurity regulation.
OSFI Finalizes on Climate Risk Guideline, Issues Other Updates
The Office of the Superintendent of Financial Institutions (OSFI) is seeking comments, until May 31, 2023, on the draft guideline on culture and behavior risk, with final guideline expected by the end of 2023.
EU to Conduct One-Off Scenario Analysis to Assess Transition Risk
The European authorities recently made multiple announcements that impact the banking sector.
APRA Assesses Macro-Prudential Policy Settings, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) published an information paper that assesses its macro-prudential policy settings aimed at promoting stability at a systemic level.
BIS Paper Examines Impact of Greenhouse Gas Emissions on Lending
BIS issued a paper that investigates the effect of the greenhouse gas, or GHG, emissions of firms on bank loans using bank–firm matched data of Japanese listed firms from 2006 to 2018.
HMT Mulls Alignment of Ring-Fencing and Resolution Regimes for Banks
The HM Treasury (HMT) is seeking evidence, until May 07, 2023, on practicalities of aligning the ring-fencing and the banking resolution regimes for banks.