The European Banking Authority (EBA) published today an update to its Implementing Technical Standards (ITS) on benchmarking of internal approaches. The ITS include all benchmarking portfolios that will be used for the 2019 benchmarking exercise.
Today's update includes changes and clarifications that the EBA introduced based on the consultation paper that was published on 18 December 2017. For the market risk benchmarking, the portfolios have been significantly updated. After three years of exercises (2016-2018), a new set of portfolios have been introduced, which are significantly simpler in their composition and consist of plain vanilla instruments. This will allow a broader coverage of the instruments in the 2019 exercise.
Minor changes have been introduced for the credit risk portfolios, but adjustments have been made to the data requested from institutions. These changes most notably include: 1) a distinction between on- and off-balance sheet exposures, 2) adjustments to the metrics for benchmarking portfolios, 3) a new split by collateral types and 4) separation of specialised lending exposures. In addition, it should be noted that the transitional provision that allowed institutions not to report a benchmarking metric based on the Standardised Approach (SA) has expired.
Regarding the data submission for the current 2018 benchmarking exercise, resubmissions are welcomed, where necessary. However, banks shall not be obliged to resubmit the same data due to the difference of submission dates set out in the consolidated version of the 2018 ITS published by EBA on 12 October 2017 and the version of the ITS published on 18 May 2018 in the Official Journal of the EU (OJ).