EBA publishes final draft technical standards specifying the data collection for the benchmarking exercise in 2024

EBA has released the final draft ITS outlining the data collection process for the benchmarking exercise in 2024.
This exercise focuses on assessing credit risk, market risk, and IFRS9 models. The key change compared to the previous year’s data collection is the inclusion of accounting metrics (IFRS9) for HDP. For market risk, new templates have been added to collect additional information, specifically the DRC and the RRAO. Minor changes have been made to the credit risk templates.
The benchmarking exercise conducted by the EBA ensures consistent monitoring of own funds requirements resulting from internal models, as well as the impact of supervisory and regulatory measures on capital requirements and solvency ratios in the EU. The exercise is essential for both supervisory assessment and horizontal analysis of internal models‘ outcomes.
Regarding IFRS9 benchmarking, the data collection and analysis will be extended to include HDPs, following a staggered approach. New portfolios and quantitative templates have been specified to collect the necessary information. For market risk benchmarking, significant changes include the provision of new templates for DRC, RRAO, and the introduction of validation portfolios for the SBM. In credit risk benchmarking, a limited number of HDP portfolios have been added to ensure alignment between credit risk and IFRS9 templates for reporting common metrics. The reference to collateral values in COREP data fields has been removed.
These draft ITS have been developed in accordance with the CRD, which mandates the EBA to specify benchmarking portfolios, templates, and definitions for annual benchmarking exercises. These exercises help competent authorities assess the quality of internal models used for calculating own funds requirements.
The IFRS9 benchmarking exercise now includes HDPs, expanding the scope beyond low default portfolios. The data collection will focus on specific asset classes, with a gradual increase in the scope of data collection planned for future exercises. The templates aim to gather quantitative data for meaningful analysis of ECL outcomes, risk parameters, macroeconomic forecasts, and SICR assessment variability.