On 9 August 2024, the European Banking Authority (EBA) published a final report containing draft implementing technical standards (ITS) amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the EU for the reporting referred to in Article 78(2) of the Capital Requirements Directive IV (CRD IV).

Background

The draft ITS have been developed in accordance with article 78 of the CRD IV, which requires the EBA to specify the benchmarking portfolios, templates, and definitions to be used as part of the annual benchmarking exercises. These are used by Member State competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.

Changes

Compared to the previous benchmarking exercise, the most significant change is in the area of market risk framework, where the EBA is proposing to expand to all asset classes the alternative standardised approach (ASA) validation portfolios. The potential shift in the scope of the ASA is significant, with the number of subjects possibly exceeding 100, compared to the current 40+ subjects in the market risk benchmarking exercise. In the area of credit risk, the EBA suggests only minor changes. These relate exclusively for the instructions related to 5 columns of the templates C.102 and C.103 and 2 columns of the template C.105.

Next steps

The Annexes in the draft ITS replace or are added to the existing set of templates in order to create a consolidated version of the updated draft ITS package.

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