Commission Implementing Regulation (EU) 2022/951 of 24 May 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in 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, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (1), and in particular Article 78(8), the third subparagraph, thereof,

Whereas:

(1) Commission Implementing Regulation (EU) 2016/2070 (2) specifies the reporting requirements for institutions to enable the European Banking Authority (‘EBA’) and 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.

(2) Considering that, pursuant to Article 78(1) of Directive 2013/36/EU, the benchmarking exercise is of at least annual duration and that, the focus of the competent authorities’ assessments and of EBA’s reports has changed in order to identify areas where further regulatory guidance is needed, exposures or positions that are included in the benchmark portfolios, and therefore also reporting requirements, need to be adapted accordingly. It is therefore appropriate to amend Annexes I to IX to Implementing Regulation (EU) 2016/2070.

(3) Furthermore, a new international accounting standard, International Financial Reporting Standard 9 (IFRS9), was adopted through Commission Regulation (EU) 2016/2067 (3). This introduced new rules for the measurement of credit losses, and, as a result, directly impacted on the amount of own funds and regulatory ratios reported. Commission Implementing Regulation (EU) 2021/2017 (4) reflected that impact on the reporting requirements under Implementing Regulation (EU) 2016/2070 by adding two new Annexes to that Regulation, one with the templates for reporting the IFRS9 impact and the other with the instructions for completing those templates. Those Annexes aimed at producing benchmarks for the probability of default for common counterparties. In line with the timeline presented in the published roadmap (5) in July 2019 on IFRS 9 deliverables by the EBA, it is necessary to complement those templates by adding the benchmarking of the loss given default (LGD) parameters.

(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 (6),

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;

(8) Annex VIII is replaced by the text in Annex VIII to this Regulation;

(9) Annex IX is replaced by the text in Annex IX 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, 24 May 2022.

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) Commission Regulation (EU) 2016/2067 of 22 November 2016 amending Regulation (EC) No 1126/2008 adopting certain international accounting standards in accordance with Regulation (EC) No 1606/2002 of the European Parliament and of the Council as regards International Financial Reporting Standard 9 (OJ L 323, 29.11.2016, p. 1).

(4) Commission Implementing Regulation (EU) 2021/2017 of 13 September 2021 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (OJ L 424, 26.11.2021, p. 1).

(5) https://eba.europa.eu/eba-publishes-its-roadmap-on-ifrs-9-deliverables-and-launches-ifrs-9-benchmarking-exercise

(6) 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).