Regulatory and Implementing Technical Standards on benchmarking portfolios

Status: Adopted and published in the Official Journal

Internal approaches used for the calculation of own funds requirements for market and credit risk are subject to an annual assessment by competent authorities. The EBA assists competent authorities in their assessment by providing a report including benchmarks which help to identify any material differences in RWA outcomes. The legal framework for the above is provided by Directive 2013/36/EU (CRD) and in particular Article 78 thereof as well as by the following technical standards provided by the EBA: a) Regulatory technical standards (RTS) laying down standards for competent authorities as regards the assessment of the internal approaches adopted by institutions and the procedures for sharing of those assessments between competent authorities; b) Implementing technical standards (ITS) specifying the benchmarking portfolios and reporting instructions for institutions to be applied in the annual benchmarking exercises.

EBA publishes updated ITS package for 2018 benchmarking exercise

EBA publishes updated ITS package for 2018 benchmarking exercise

14 December 2017

The European Banking Authority (EBA) published today an update to its Implementing Technical Standards (ITS) on benchmarking of internal approaches, which define the benchmarking portfolios for the 2018 benchmarking exercise.

Today's update includes minor changes and clarifications that the EBA agreed with the Commission in advance of the Commission's adoption of these standards. These updates do not entail any change to the policy or legal content of the technical standards but eliminate inconsistencies in wording and facilitate harmonised data submissions in April 2018.

Press contacts:

Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772

EBA corrects portfolio identifiers for 2018 benchmarking exercise to ensure effective data validation

EBA corrects portfolio identifiers for 2018 benchmarking exercise to ensure effective data validation

12 October 2017

The European Banking Authority (EBA) rectified today Annex 1 of its Implementing Technical Standards (ITS) on benchmarking of internal approaches, which had been amended on 4 May 2017 to define the benchmarking portfolios for the 2018 benchmarking exercise.

Today's corrections eliminate some duplicate portfolio identifiers (IDs) in Annex 1 of the ITS, which might lead to technical and practical problems for data validation and when mapping portfolio IDs to the relevant internal models applied by banks. These corrections do not entail any change to the policy or legal content of the technical standards but facilitate effective data validation. The revised portfolio IDs should be used for data submissions in April 2018.

Press contacts:

Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772

EBA issues amended technical standards on benchmarking of internal approaches

EBA issues amended technical standards on benchmarking of internal approaches

04 May 2017

The European Banking Authority (EBA) published today an amended version of its Implementing Technical Standards (ITS) on benchmarking of internal approaches. These amendments aim at ensuring a better quality of the submitted data and, ultimately will assist the EBA and competent authorities in their 2018 assessment of internal approaches for credit and market risk. The EBA plans to annually update the ITS to ensure future benchmarking exercises are relevant and successful.
 
The draft ITS reflect the Single Rulebook at the reporting level and, therefore, need to be updated whenever the Single Rulebook is updated. Answers to questions about the Single Rulebook raised using the Q&A mechanism have contributed to more precise reporting instructions and definitions. 
 
In addition to the Q&A-driven changes, updates to the benchmarking portfolios were necessary to facilitate the 2018 benchmarking exercise for both credit and market risk, so that they remain relevant for supervisors.
 
These amendments are expected to be applicable to the submission of initial market valuation data in November 2017 and of other market and credit risk data in April 2018.
 

Legal basis

 
Article 78 of Directive 2013/36/EU (the CRD) requires competent authorities to make an annual assessment of the quality of internal approaches used for the calculation of own funds requirements. The same Article requires the EBA to produce a report to assist competent authorities in this assessment. The EBA's report is based on data submitted by institutions as specified in the draft ITS which specify the benchmarking portfolios and reporting requirements that should be applied in the annual benchmarking exercises by institutions using internal approaches for market and credit risk.
 

Press contacts:

Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772

EBA agrees with the Commission on changes to the amended technical standards on benchmarking of internal approaches

EBA agrees with the Commission on changes to the amended technical standards on benchmarking of internal approaches

12 May 2016

The European Banking Authority (EBA) issued today an Opinion to the European Commission expressing agreement with its proposed amendments to the EBA Implementing Technical Standards (ITS) on benchmarking of internal approaches. These amendments, which were agreed with the EBA building on the experience of the 2014-15 benchmarking exercise, aim at ensuring a better quality of the submitted data and, ultimately, at strengthening the benchmarking analysis performed by the EBA and Competent Authorities. The EBA plans to annually update the ITS and to maintain them on a regular basis to ensure the success and quality of future benchmarking exercises.

Next steps for 2016 and future benchmarking exercise

The amended ITS on benchmarking of internal approaches will allow the EBA to run its 2016 exercise based on the data requirements specified in the amended standards. In particular, the 2016 exercise will cover credit risk for the so-called high-default portfolios (small and medium enterprises and retail) and market risk portfolios as well as some information about the models used to produce the results.
 
All EU institutions using internal approaches to calculate capital requirements will be subject to an assessment of their internal approaches and are required to submit to their Competent Authorities the data on those portfolios by close of business on 30 June 2016.
 
Changes to the ITS will be applied annually since some features of the instruments or counterparties included in the benchmarking portfolios require regular updating as they may become obsolete  or cease to exist.
 
The EBA is currently taking into consideration the changes to the portfolios relevant for the 2017 exercise. These too will be transmitted to the European Commission and published after the adoption by the EBA Board of Supervisors.

Background

The ITS on benchmarking of internal approaches were published and submitted to the European Commission in March 2015. On 20 April 2016 the latter informed the EBA that it intended to adopt the ITS with amendments proposed to the EBA building on the experience of the 2014-15 benchmarking exercise.
 

Press contacts:

Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772

EBA delivers benchmarking package

EBA delivers benchmarking package

02 March 2015

The European Banking Authority (EBA) published a set of papers for benchmarking the internal approaches that EU institutions use to calculate own-funds requirements for credit and market risk exposures. The EBA final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) specify in detail the framework for EU institutions and competent authorities to carry out the annual supervisory benchmarking foreseen by the Capital Requirements Directive (CRD IV). The EBA also issued its response to a call for advice by the European Commission's on the benchmarking process. This work is part of the EBA's efforts to address possible inconsistencies in the calculation of risk weighted assets (RWAs) across the EU Single Market and to ultimately restore confidence in EU banks' capital and internal models.
 
The EBA standards define the benchmarking portfolios as well as the methodology that competent authorities across the EU shall use in order to assess the quality of institutions' internal approaches for capital calculation purposes.
 
In particular, the draft implementing technical standards (ITS) specify the benchmarking portfolios as well as the templates, definitions and IT solutions that should be applied in the benchmarking exercise for market and credit risk. The draft regulatory technical standards (RTS) specify the procedures for sharing the assessments between the competent authorities and with the EBA as well as the standards that will be used by competent authorities to assess the internal approaches banks apply to calculate their capital requirements for market and credit risk.
 
The regular benchmarking exercises will allow an assessment of differences in RWAs across EU institutions and the identification of potential underestimation of capital requirements.
 
These standards build on the work carried out by the EBA on the comparability of capital requirements for credit and market risks in the past years and aim at minimising the burden for banks and competent authorities.
 
Finally, the EBA is also publishing its response to a call for advice by the European Commission's on the benchmarking process. In its response to the Commission, the EBA has provided a meaningful although preliminary assessment of different issues related to the functioning of the benchmarking process, such as the usefulness of these kind of exercises, the appropriateness of its scope and frequency, the suitability of the current legal setting, the need to introduce proportionality, or the usefulness of extending the scope of the exercise to include the advanced measurement approaches (AMA) for operational risk.

Legal basis and next steps

These final draft RTS and ITS have been developed in accordance with Article 78 of Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 (Capital Requirements Directive or CRD IV) on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC.
 
The first benchmarking exercise conducted under the ITS and RTS framework will be based on data referred to Q4 2015 observations. Institutions shall report the information by 11 April 2016.
 

Press contacts:

Franca Rosa Congiu

E-mail: press@eba.europa.eu - Tel: +44 (0) 207 382 1772