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    EBA Finalizes Templates for One-Off Climate Risk Scenario Analysis

    November 28, 2023

    The European Banking Authority (EBA) has published the final templates, and the associated guidance, for collecting climate-related data for the one-off Fit-for-55 climate risk scenario analysis. About 110 banks in EU are expected to participate in this exercise, which should be based on end-2022 balance sheet data. The data collection will start from December 01, 2023 and will be completed on March 12, 2024.

    The accompanying guidance to the final templates provides participating banks with the definitions and the technical guidance for populating the finalized templates. The templates refer to the specific version of the supervisory reporting requirements in place as of December 31, 2022. This implies the use of FINREP and COREP standards for all templates, as for the EBA Reporting Framework 3.2 (applicable to reports up to December 31, 2022). In case of resubmission of FINREP and COREP reports, the templates should be completed with the most recent data. Where applicable, banks should provide evidence that a FINREP/COREP resubmission is in progress and explain the differences in the explanatory note. The key templates address credit, market, and real estate risks, along with the interest, fees, and commission income:

    • Credit risk. The "CR_Top_Counterpart" template collects data for the top 15 counterparties of the main climate-relevant sectors, along with exposures to some large-selected companies. The "CR_Aggregated_Data" collects aggregated data for the five most important countries, in terms of exposure, and the main climate-relevant sectors. Data aggregated at sectoral level should also be reported for “Other EU” and “Other Non-EU” countries.
    • Market risk. The "MR_Top_Counterpart" template collects individual issuer data for the top 15 issuers of the main climate-relevant sectors aggregated by asset class (i.e., corporate bonds vs equity). Exposures to some large-selected companies are also requested. In addition, data of the top 15 issuers of funds/indices are requested. The "MR_Aggregated_Data" template collects aggregated data for the main climate-relevant sectors and asset class (i.e., corporate bonds vs equity). In addition, aggregated data of funds/indices is requested.
    • Real estate risk. The "RE_Transition_Risk" template collects data on real estate exposures, potentially impacted by transition risk, for the five most important EU countries, in terms of exposure, aggregated by asset class (RRE vs CRE) and Energy Performance Certificate (EPC) label. The "RE_Physical_Risk" template collects data on real estate exposures, potentially impacted by physical risk, for the five most important EU countries, in terms of exposure, aggregated by asset class (RRE vs CRE) and nomenclature of territorial units for statistics (NUTS) 3 code.
    • Interest, fees, and commissions income. The "II_FCI" template collects Interest and Fees and Commission income figure for the five most important countries, in terms of income, and main climate-relevant sectors. Data aggregated at sectoral level should also be reported for “Other” countries.

    The Fit-for-55 scenario analysis is a one-off exercise that aims to assess resilience as well as capacity of the financial sector to support the transition to a lower-carbon economy, under conditions of stress. As part of the Renewed Sustainable Finance Strategy of the European Commission (EC), this exercise will be conducted in collaboration with the European Supervisory Authorities (ESAs), the European Central Bank (ECB), and the European Systemic Risk Board (ESRB). EC would welcome an assessment of the extent to which early climate risk related shocks could already generate significant stress for the financial system in the period up to 2030. The final deliverable is expected to be an integrated report combining sectoral work and the cross-sectoral modeling. EC prefers to ideally receive results from this exercise by end-2024 and in any case not later than the first quarter of 2025.

     

    Visit Moody's Analytics Climate and ESG Risk Microsite to learn how you can proactively incorporate climate and ESG insights into your risk assessment process.

     

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    Keywords: Europe, Banking, Climate Change Risk, Scenario Analysis, Credit Risk, Market Risk, Basel, Reporting, EBA, ECB, ESA, ESRB

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