On 5 May 2022, the European Banking Authority (EBA) updated its Implementing Technical Standards (ITS) that specify the data collection for the supervisory benchmarking exercise of 2023 in relation to the internal approaches used in market and credit risk and IFRS 9 accounting. The updated ITS include all benchmarking portfolios and metrics that will be used for the 2023 exercise.

The benchmarking exercise is an essential supervisory tool to monitor and enhance the quality of internal models, which are relevant for the assessment of the institution’s capital adequacy. The statutory basis of the exercise is Article 78 of the Capital Requirements Directive IV which requires Member State competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.

For the 2023 benchmarking exercise the following changes are suggested:

  • For credit risk, no changes are proposed for the data collection templates, and two minor changes have been made to the portfolio’s definition. However, some further clarifications are included in the instructions.
  • For market risk, the addition of a more complex set of instruments that could provide additional information and analysis to supervisors and banks.
  • For IFRS 9, no changes to existing templates are envisaged.

The draft ITS will be submitted to the European Commission for endorsement before being published in the Official Journal of the European Union. The technical standards will apply 20 days after publication in the Official Journal.