Commission Implementing Regulation (EU) 2021/1971 of 13 September 2021 amending Implementing Regulation (EU) 2016/2070 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (1), and in particular the third subparagraph of Article 78(8) thereof,

Whereas:

(1) Commission Implementing Regulation (EU) 2016/2070 (2) specifies the reporting requirements for institutions to enable the competent authorities to monitor the range of risk weighted exposure amounts or own funds requirements for the exposures or transactions in the benchmark portfolio resulting from the internal approaches of those institutions, and to assess those approaches, as required by Article 78(3) of Directive 2013/36/EU (the benchmarking exercise).

(2) For the credit risk analysis, previous benchmarking exercises highlighted some potential for improving both the definition of the benchmarking portfolios and the reporting instructions. Clear definitions and instructions are necessary to foster a consistent interpretation and implementation of the reporting requirements across institutions, which, in turn, will lead to better data quality and more accurate benchmark values. In addition, the previous benchmarking exercises demonstrated that the number of portfolios reported and their complexity were a strong impediment to the quality of the data reported. To improve the quality of the data reported and to obtain more accurate benchmark values, it is therefore necessary to revise the benchmarking portfolios on the basis of three main principles, namely that the number of benchmark portfolios to be reported is decreased that the design of the benchmark portfolios is simplified and that there is a need for stable benchmark portfolio definitions.

(3) The suggestions and feedback from institutions taking part in the past market risk benchmarking exercises showed the need for amendment of some of the definitions of the instruments for the market risk exercise laid down in Annex V to Implementing Regulation (EU) 2016/2070. Moreover, the market risk instruments definitions use dates that in some case have to be updated yearly.

(4) This Regulation is based on the draft implementing technical standards submitted by EBA to the Commission.

(5) 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 opinion 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).

(6) Implementing Regulation (EU) 2016/2070 should therefore be amended accordingly,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2016/2070 is amended as follows:

(1) Annex I is replaced by the text in Annex I to this Regulation;

(2) Annex II is replaced by the text in Annex II to this Regulation;

(3) Annex III is replaced by the text in Annex III to this Regulation;

(4) Annex IV is replaced by the text in Annex IV to this Regulation;

(5) Annex V is replaced by the text in Annex V to this Regulation;

(6) Annex VI is replaced by the text in Annex VI to this Regulation;

(7) Annex VII is replaced by the text in Annex VII to this Regulation.

Article 2

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 13 September 2021.

For the Commission The President Ursula VON DER LEYEN

(1) OJ L 176, 27.6.2013, p. 338.

(2) Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (OJ L 328, 2.12.2016, p. 1).

(3) Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).