Commission Implementing Regulation (EU) 2024/348 of 19 January 2024 amending the implementing technical standards laid down in Commission Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council

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), third subparagraph, thereof,

Whereas:

(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),

HAS ADOPTED THIS REGULATION:

Article 1

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

(2) in Article 3, paragraph 1 is replaced by the following: ‘1.   For internal approaches for market risk, an institution shall submit to its competent authority the information specified in the templates of Annex VII, in accordance with the portfolio definitions and instructions contained in Annexes V, VI and X.’

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

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

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

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

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

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

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

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

(11) the text in Annex IX to this Regulation is added as Annex X.

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, 19 January 2024.

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).