On 4 May 2020, the European Banking Authority (EBA) published an update to its implementing technical standards (ITS) on benchmarking of internal approaches. The updated ITS include all benchmarking portfolios that will be used for the 2021 exercise.
To analyse potential sources of variability stemming from the implementation of the new accounting standard (IFRS 9), two new annexes have been produced. The EBA believes that the collection of quantitative data on the IFRS 9 parameters will contribute to gather a better understanding of the different methodologies, models, inputs and scenarios, which could lead to material inconsistencies in expected credit loss outcomes, and affect own funds and regulatory ratios.
On the credit risk side, neither new portfolios nor new data points have been added compared to the 2020 exercise. However, some marginal changes have been applied in annex I. These include the annex containing counterparties treated under the standardised approach, which are reported in the IFRS 9 template. For the market risk benchmarking, some instruments have been updated and clarified but the overall composition of the portfolio has not changed with respect to the 2020 exercise. The update does include certain changes and clarifications that the EBA introduced based on an earlier consultation paper that was published on 17 December 2019.