Kommisjonens gjennomføringsforordning (EU) 2024/348 av 19. januar 2024 om endring av de tekniske gjennomføringsstandardene fastsatt i gjennomføringsforordning (EU) 2016/2070 med hensyn til referanseporteføljer, rapporteringsmaler og rapporteringsinstrukser ved rapporteringen nevnt i artikkel 78 nr. 2 i europaparlaments- og rådsdirektiv 2013/36/EU
Soliditetskrav til banker og verdipapirforetak: endringsbestemmelser om rapportering
Kommisjonsforordning publisert i EU-tidende 8.3.2024
Nærmere omtale
BAKGRUNN (fra kommisjonsforordningen)
(1) Pursuant to Article 78(1) of Directive 2013/36/EU, institutions are required to submit to their competent authority, at least annually, the results of the calculations of their risk weighted exposure amounts or own fund requirements under their internal approaches for exposures or positions that are included in the benchmark portfolios, to enable that competent authority to assess the quality of those internal approaches (‘benchmarking exercise’). Pursuant to Article 78(3), second subparagraph, of Directive 2013/36/EU, the European Banking Authority (the ‘EBA’) has to produce a report to assist the competent authorities in the assessment of the quality of the institutions’ internal approaches, based on the results of the benchmarking exercise. The Commission specified the reporting requirements for the benchmarking exercise in Commission Implementing Regulation (EU) 2016/2070 (2). That Implementing Regulation has been amended regularly to reflect the changes in the focus of the competent authorities’ assessments and of the EBA’s reports. For the same reason, it is necessary to update once more the benchmark portfolios, and thus also the reporting requirements laid down in Implementing Regulation (EU) 2016/2070. In particular, for the market risk benchmarking, it is necessary to include the remaining components of the ASA (Default Risk Charge – DRC and Residual Risk Add-On – RRAO), in addition to the sensitivity-based method (SBM) component already included in the previous benchmarking exercise. For the credit risk benchmarking, a limited number of portfolios that reflect the state of collateralisation should be added to account for the variability of own funds requirements which may arise due to potentially diverging inclusion of credit protection across institutions.
(2) Furthermore, to reduce the sources of variability for the benchmarking of the SBM and to facilitate the identification by competent authorities of divergent implementations of the SBM aggregation, it is necessary to introduce in a new Annex a new set of validation portfolios to the benchmarking exercise related to market risk (SBM validation portfolios).
(3) The IFRS 9 Benchmarking exercise is currently limited to low default portfolios, which does not provide the supervisors with a comprehensive view of the variability of the IFRS 9 Expected Credit Loss (ECL) models’ outcomes. To enable competent authorities to have a broader understanding of the sources of material inconsistencies in ECL outcomes, as stated in the EBA IFRS 9 Monitoring Report and following the staggered approach presented in the IFRS 9 roadmap, it is necessary to integrate additional portfolios and templates to gradually extend the IFRS 9 benchmarking exercise to the high default portfolios.
(4) Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly.
(5) This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA.
(6) The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (3),