The European Banking Authority (EBA) published today a consultation paper proposing to amend the EU Commission’s Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models so as to include some new elements for the 2022 exercise. The EBA benchmarking exercise forms the basis for both supervisory assessment and horizontal analysis of internal models. It ensures consistent monitoring of the impact of the several different supervisory and regulatory measures aiming at the harmonising capital requirements in the EU.
For each of the three areas, the EBA is proposing to include the following new elements: i) for credit risk, additional information on the level of conservatism embedded in the IRB risk parameters; iii) for market risk, new sensitivities related to the so-called sensitivities-based method, in line with the new FRTB framework; and iii) for the IFRS9 exercise, updated templates with the collection of additional IFRS 9 parameters.
Responses to the consultations can be sent to the EBA by clicking on the "send your comments" button on the consultation page.
All contributions received will be published after the consultation closes, unless requested otherwise. The deadline for the submission of comments is 15 February 2021.
A public hearing on this consultation will take place on the 20 January 2021 from 11:00 to 13:00 CET. Deadline for registration is 18 January 2020 at 16:00 CET.
These draft Implementing Technical Standards (ITS) amending the Commission’s Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models, have been developed in accordance with article 78 of the Capital Requirements Directive (CRD), which requires the EBA to specify the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises. These are used by competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.