Commission Implementing Regulation (EU) 2025/379 of 26 February 2025 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

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 permitted to use internal approaches are required to submit to their competent authority at an appropriate frequency, and 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 that Directive, the European Banking Authority (the ‘EBA’) is 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 reporting requirements for the benchmarking exercise are specified in Commission Implementing Regulation (EU) 2016/2070 (2) that was amended several times. To reflect the changes in the focus of the competent authorities’ assessments and of the EBA’s reports, and in light of legislative changes in the area of market risk, it is necessary to update again the benchmark portfolios, together with the reporting requirements laid down in that Implementing Regulation.

(2) For the credit risk benchmarking, the instructions should be changed to specify the mandatory nature of reporting probability of default (PD) and loss given default (LGD) risk parameters with regard to the margin of conservativeness (MoC), regulatory add-on, and downturn (DWT) components, which can be a source of variability in the models. In addition, it should be specified that institutions are required to report the models’ identifier assigned by the competent authority, simplifying the operationalisation of the reporting allocation of data.

(3) Commission Delegated Regulation (EU) 2024/2795 (3) postponed the date of application of the new own funds requirements for market risk. Therefore, the templates for the existing internal model approach are not being replaced for this exercise. In parallel, the templates for the validation of the standardised approach should be expanded to include additional portfolios compared to the 2024 exercise, where only interest rates instruments were in scope. That aims to ensure adequate supervision and a smooth implementation of the new standardised approach, which is used for the calculation of the output floor.

(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 (4),

HAS ADOPTED THIS REGULATION:

Article 1

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

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

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

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

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

(5) Annex X is replaced by the text in Annex V 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, 26 February 2025.

For the Commission The President Ursula VON DER LEYEN

(1) OJ L 176, 27.6.2013, p. 338, ELI: http://data.europa.eu/eli/dir/2013/36/oj.

(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, ELI: http://data.europa.eu/eli/reg_impl/2016/2070/oj).

(3) Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 amending Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to the date of application of the own funds requirements for market risk (OJ L, 2024/2795, 31.10.2024, ELI: http://data.europa.eu/eli/reg_del/2024/2795/oj).

(4) 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, ELI: http://data.europa.eu/eli/reg/2010/1093/oj).