EBA欧洲银行-Public-hearing-on-ITS-on-benchmarking-2019_8页_1mb

EBA 2019 ITS Public Hearing Summary

Core Content

The European Banking Authority (EBA) conducted a 2019 Internal Supervisory Benchmarking (ITS) Public Hearing, focusing on updates to market risk and credit risk benchmarking frameworks. The hearing aimed to incorporate feedback from stakeholders, including competent authorities (CAs) and banks, to refine the regulatory requirements and improve the accuracy and consistency of risk assessments across the European banking sector.

Main Changes in Market Risk

• Extended Review Period: Banks are given more time to review their Internal Model Validation (IMV) results before computing risk measures.
• Enhanced Reporting: Additional information on the Regulatory Stressed VaR period and methodology must be reported in the relevant templates to enable in-depth analysis by the EBA.
• New Benchmarking Portfolios: A revised set of market risk benchmarking portfolios was introduced, structured in three layers:
  • 1st Layer: Financial instruments categorized by risk factors, where IMV is computed.
  • 2nd Layer: Individual portfolios formed by combining different instruments to evaluate the impact of grouping and hedging.
  • 3rd Layer: Aggregated portfolios to assess diversification effects and implied capital requirements.

Main Changes in Credit Risk

• On-Balance Sheet vs Off-Balance Sheet Split: A new distinction between on-balance sheet and off-balance sheet items was introduced to enhance the accuracy of the Capital Charge for Credit Risk (CCF).
• Confidence Intervals: The use of confidence intervals (C103.00) replaced the previous RWA* and RWA** for more precise risk assessment.
• Specialised Lending Exposures:
  • C101.00: Clarified that certain specialised lending exposures are out of scope in the template.
  • C102.00: Introduced dedicated portfolio IDs to distinguish specialised lending exposures from other credit risk exposures.

Sector Classification and Collateral Types

• Expanded Economic Sector Classification: The classification was broadened to include all sovereign and institutional exposures, ensuring comprehensive coverage.
• Harmonised Definitions: Definitions between institutions and sovereigns were harmonised to improve consistency.
• Collateral Type Breakdown: The split by collateral type was expanded to provide a complete breakdown of exposures.

Annex Updates

• C101.00: The list of counterparties will be updated by the EBA and the Technical Financial Supervision Body (TFSB), removing obsolete counterparties and adding new relevant ones.
• C102.00 and C103.00: New portfolio IDs will be assigned to ensure clarity and separation of specialised lending exposures.

Next Steps

• Dec 2017 – Jan 2018: Public consultation to gather feedback on the amended ITS.
• Jan – Mar 2018: Approval of the changes by the Board of Supervisors (BoS).
• Mar – Apr 2018: Submission of the amended ITS to the European Commission (COM), including its publication on the EBA website.
• COM Adopt Regulation: The European Commission will adopt the regulation based on the EBA's recommendations.
• COM Publish in Official Journal: The final regulation will be published in the Official Journal of the European Union.

Key Information

• The ITS Public Hearing was part of the EBA's ongoing effort to improve the consistency and accuracy of risk assessments in European banks.
• The changes to market risk and credit risk frameworks reflect stakeholder input and aim to enhance transparency and comparability.
• The implementation timeline includes consultation, approval, and publication phases, with the final regulation expected to be adopted and published in 2018.