EBA updates benchmarking ITS for 2022 exercise

2021/06/03

The European Banking Authority (EBA) updated its implementing technical standards (ITS) on the benchmarking of internal approaches for the 2022 exercise, which covers approved internal approaches used for own funds requirements calculation of credit and market risk, as well as internal models used for IFRS 9. For the market risk benchmarking, the framework is extended to allow the collection of new information regarding sensitivity-based-measures (SBM), in relation to the Fundamental Review of the Trading Book (FRTB) SBM measures for own funds requirements.  Some instruments have been updated and clarified, but the overall composition of the portfolio has only changed marginally compared to the 2021 exercise. For credit risk, a limited number of additional data fields were added to analyse the level of conservatism incorporated in the risk estimates and the resulting risk-weighted exposures amounts. In addition, some enhancements were made regarding the existing data requirements. For the IFRS 9 portfolios, a limited number of additional data fields has been included to collect information on additional IFRS 9 parameters, in particular the loss given default (LGD).