EBA欧洲银行-CP-on-ITS-amending-Commission-Implementing-Regulation-EU-2016-2070-on-Benchmarking_34页_1mb

Summary of EBA/CP/2018/16: Consultation Paper on Draft Implementing Technical Standards

Core Content

This consultation paper outlines proposed changes to the Draft Implementing Technical Standards (ITS) for the benchmarking of internal models, which amend the Commission Implementing Regulation (EU) 2016/2070. The changes aim to improve the clarity, relevance, and consistency of the benchmarking portfolios and reporting templates used in the 2020 benchmarking exercise.

The EBA seeks feedback on the proposed revisions, particularly on the impact of the changes on data quality, reporting burden, and the explanatory power of the benchmarking data.

Main Objectives of EBA Benchmarking

1. Supervisory assessment of the quality of internal approaches used by institutions for own funds requirements.
2. Monitoring RWA variability over time.
3. Providing valuable comparative risk assessment information for banks.

Key Changes

Credit Risk

• Reduction in the number of portfolios:

  • LDP portfolios will have a simplified risk type split, with CR and CC only applied at the level-1 and default status splits.
  • HDP portfolios will not have a risk type split; CT (Credit and counterparty risk) will be used at all levels.

• Specialised Lending (SLE):

  • SLE will be treated as a separate exposure class at the level-1 split.
  • SLE portfolios will be further split by FINREP sectors and types of exposures (project financing, real estate financing, object financing, and commodity financing).
  • Covered bonds eligible under Article 129(4) or (5) of CRR will be included in the LDP sub-portfolio.

• Alignment with COREP:

  • Level-2 breakdowns for HDP and LDP will be aligned in terms of CRM and sector.
  • Definitions will be updated to include unfunded credit protection and double default treatment.

• Technical refinements:

  • More granular NACE code classifications will be introduced for HDP sub-portfolios (e.g., Agriculture, Manufacturing, etc.), with the aim of increasing homogeneity and explanatory power.
  • The NACE code breakdown will not be applied to retail exposures.

• Rating and country split:

  • The rating * country split in template C103 will be removed.
  • A combined rating split will be reported in the new template C105.04, covering all models in the benchmarking scope.

• On-/Off balance sheet exposure:

  • Level-2 portfolios will not be split by on- and off-balance sheet exposure; the split will be based on rating, collateral, and sector.

Market Risk

• Benchmarking scope:

  • The 2020 market risk benchmarking will focus on MRWA variability across institutions using internal models for:
    • General and specific risk of equity instruments.
    • General and specific risk of debt instruments.
    • Foreign exchange risk.
    • Commodities risk.
    • Correlation trading.

• Pricing information:

  • Institutions are required to submit pricing information for benchmark instruments along with initial market valuation (IMV) and price sensitivities.

• Non-aggregated reporting:

  • All data must be submitted in a non-aggregated manner to ensure transparency and accuracy.

• ILTV buckets:

  • New ILTV (Initial Loan-to-Value) buckets are proposed for exposures secured by immovable property, with more detailed ranges to improve the explanatory power of the benchmarking data.

Main Questions for Consultation

1. Is the risk type split a significant burden for your institution (for LDP/HDP)?
2. Do you agree with the introduction of a new template C105.04 to replace the reporting of “empty” rating portfolios?
3. Do you agree that the combined split of rating and country in template C103 can be replaced by a simpler rating split per model in template C105.04?
4. Do you agree that SLE should be reported in a separate exposure class? Which rating split option do you prefer under the slotting approach?
5. Do you expect the proposed LDP sub-portfolio for covered bonds to cover a material share of exposure? Can it contribute to explaining RWA variability?
6. Do you think the alternative CRM-based portfolio split would provide higher explanatory power for RWA variability?
7. Do you expect the proposed NACE code breakdown for HDP sub-portfolios to provide more explanation for RWA variability? Is the current split using only NACE code F sufficient?
8. Do you expect the proposed ILTV buckets for HDP sub-portfolios secured by immovable property to provide more explanation for RWA variability?

Next Steps

• The relevant Annexes of the ITS will be replaced with the updated versions in the consultation paper.
• The revised benchmarking portfolios and reporting requirements are expected to be applicable for:
  • Initial market valuation data in Q3 2019.
  • Other market and credit risk data in 1H 2020 (with reference date 31 December 2019 for credit risk).

Data Protection and Confidentiality

• The EBA complies with Regulation (EC) No 45/2001 on data protection.
• Institutions can choose to disclose or keep their comments confidential.
• Confidential responses may be subject to consultation by the EBA and are reviewable by the Board of Appeal and the European Ombudsman.

Conclusion

The proposed changes aim to simplify the benchmarking process, improve data quality, and enhance the explanatory power of the benchmarking results for RWA variability. The EBA is seeking feedback to ensure that the changes are practical and effective for all stakeholders involved.