EBA Updates Standards for 2023 Benchmarking of Internal Approaches
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.
Related Links
- 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
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.
Patrycja Oleksza
Applies proficiency and knowledge to regulatory capital and reporting analysis and coordinates business and product strategies in the banking technology area
Related Articles
ESAs Issue Multiple Regulatory Updates for Financial Sector Entities
The three European Supervisory Authorities (ESAs) issued a letter to inform about delay in the Sustainable Finance Disclosure Regulation (SFDR) mandate, along with a Call for Evidence on greenwashing practices.
FSB and NGFS Publish Initial Findings from Climate Scenario Analyses
The Financial Stability Board (FSB) and the Network for Greening the Financial System (NGFS) published a joint report that outlines the initial findings from climate scenario analyses undertaken by financial authorities to assess climate-related financial risks.
FSB Issues Reports on NBFI and Liquidity in Government Bonds
The Financial Stability Board (FSB) published a letter intended for the G20 leaders, highlighting the work that it will undertake under the Indian G20 Presidency in 2023 to strengthen resilience of the financial system.
ISSB Makes Announcements at COP27; IASB to Propose IFRS 9 Amendments
The International Sustainability Standards Board (ISSB) of the IFRS Foundations made several announcements at COP27 and with respect to its work on the sustainability standards.
IOSCO Prioritizes Green Disclosures, Greenwashing, and Carbon Markets
The International Organization for Securities Commissions (IOSCO), at COP27, outlined the regulatory priorities for sustainability disclosures, mitigation of greenwashing, and promotion of integrity in carbon markets.
EBA Finalizes Methodology for Stress Tests, Issues Other Updates
The European Banking Authority (EBA) issued a statement in the context of COP27, clarified the operationalization of intermediate EU parent undertakings (IPUs) of third-country groups
EU Finalizes Rules Under Crowdfunding Service Providers Regulation
The European Union has finalized and published, in the Official Journal of the European Union, a set of 13 Delegated and Implementing Regulations applicable to the European crowdfunding service providers.
OSFI Sets Out Work Priorities and Reporting Updates for Banks
The Office of the Superintendent of Financial Institutions (OSFI) published an annual report on its activities, a report on forward-looking work.
APRA Finalizes Changes to Capital Framework, Issues Other Updates
The Australian Prudential Regulation Authority (APRA) finalized amendments to the capital framework, announced a review of the prudential framework for groups.
BIS Hub and Central Banks Conduct CBDC and DeFI Pilots
The Bank for International Settlements (BIS) Innovation Hubs and several central banks are working together on various central bank digital currency (CBDC) pilots.
