18 December 2018
The European Banking Authority (EBA) launched today a consultation to amend the Commission's Implementing Regulation on benchmarking of internal models to adjust the benchmarking portfolios and reporting requirements in view of the benchmarking exercise it will carry out in 2020. The proposed changes aim at simplifying the portfolio's structure for the credit risk part of the exercise, and getting more insights into the model used for pricing for the market risk part of the exercise. The consultation will run until 31st January 2019.
Based on the feedback received from the recent interactions with institutions, the EBA's proposals included in this Consultation Paper aim at facilitating the reporting for the credit risk portfolios. The simplification of the structure of the data collection as well as the reduction of the number of portfolios is expected to enhance the data quality. Furthermore, the objective is to keep the structure of the portfolios stable for the 2021 exercise.
The main changes in the definitions of the credit risk portfolios are (1) a reduction in the number of portfolios to be submitted, (2) a simplification and alignment in the structure of the portfolios to be submitted and (3) a number of technical refinements, such as the inclusion of covered bonds, an update of the Indexed loan-to-value range (ILTV), Statistical Classification of Economic Activities of the EU (NACE) and Credit Risk Mitigation (CRM) splits, and the introduction of a sub sample of large corporates with revenue below or above 500m€.
The EBA is also proposing minor consistency updates as well as a data collection of the sensitivities aiming at further improving the data quality.
Responses to this consultation can be sent to the EBA by clicking on the "send your comments" button on the consultation page. Please note that the deadline for the submission of comments is 31st January 2019.
A public hearing will take place at the EBA premises on 25 January 2019 from 14:00 to 15:30 UK time.
Article 78 of the Capital Requirements Directive (CRD) requires competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements. To assist competent authorities in this assessment, the EBA calculates and distributes benchmark values against which individual institutions' risk parameters can be compared. These benchmark values are based on data submitted by institutions as laid out in the Capital Requirements Regulation (CRR), which specifies the benchmarking portfolios, templates and definitions to be used as part of the annual benchmarking exercises.