The EBA Amends Technical Standards Specifying The Data Collection For The 2025 Benchmarking Exercise

The European Banking Authority (EBA) today published its final draft Implementing Technical Standards (ITS), amending the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2025 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 compared to the 2024 exercise. In the area of credit risk, the EBA suggests only minor changes.

In the area of market risk, the templates based on the alternative internal model approach (AIMA) have not been implemented because of the adoption of a Delegated Act by the European Commission that postpones the implementation of the Fundamental Review of the Trading Book (FRTB) in the EU. Therefore, both the content and the sample of banks for the data collection in the area of market risk remain the same as in the 2024 exercise. Compared to the 2024 exercise, the data collection deadlines have been postponed to allow participating banks some more time as a result of the delay in the publication of this amending ITS.

In the area of credit risk, the few amendments clarify, on the one hand, the mandatory nature - if available - of reporting the probability of default (PD) and loss given default (LGD) risk parameters in relation to the margin of conservatism (MoC), regulatory add-ons, and downturn components, and, on the other hand, the use of internal model IDs used by the competent authorities.

Legal basis and background

This draft ITS have been developed in accordance with article 78 of the Capital Requirements Directive (CRD), 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 competent authorities to conduct an annual assessment of the quality of internal approaches used for the calculation of own funds requirements.

The EBA annual benchmarking exercise forms the basis for both the supervisory assessment and the horizontal analysis of the outcome of internal models. It ensures consistent monitoring of the variability of own funds requirements resulting from the application of internal models as well as on the impact of the several different supervisory and regulatory measures which influence the capital requirements and solvency ratios in the EU.