EBA consults on technical standards on supervisory benchmarking

28 May 2014

The European Banking Authority launched a consultation on draft ITS and RTS aimed at specifying the EU framework for the conduct of annual supervisory benchmarking of internal approaches for calculating own funds requirements for credit and market RWAs. The consultation runs until 19 August 2014.

These ITS and RTS follow the significant work that the EBA conducted on the comparability of capital requirements for internal ratings-based approach (IRBA) for credit risk and market internal risk models, including a series of benchmarking exercises run in 2013. This work has led to a better understanding of the drivers behind differences observed in RWAs across EU institutions. The future benchmarking exercises, as outlined in this consultation paper, will continue to play a crucial role in improving comparability of capital requirements calculated using internal approaches.

These ITS provide:

• a set of benchmark portfolios for credit and market risk based on recent EBA experiences;
• templates, definitions and IT solutions that EU banks will be asked to use when reporting the results of their calculations of capital requirements.

These RTS define:

• the common general benchmarks for credit and market portfolios to be used by the competent authorities in the assessment of the quality of the internal approaches. These benchmarks aim at detecting significant differences in RWAs, as well as significant and systematic underestimation of capital requirements;
• the procedures for sharing the results of the assessment of internal approaches carried out by each competent authority with both the EBA and the other relevant competent authorities.

A public hearing will take place at the EBA premises on 16 June 2014 from 14:00 to 18:00 hours UK time. Comments to this consultation can be sent to the EBA by 19 August 2014.

Press release

Consultation paper

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