EBA launches consultation to amend the data collection for the benchmarking exercise in 2024
08 December 2022
- 08 December 2022
The European Banking Authority (EBA) publishes today a consultation paper to amend the Implementing Regulation on the benchmarking of credit risk, market risk and IFRS9 models for the 2024 exercise. - The most significant change is the roll out of the data collection for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP).
- For market risk it is proposed to add new templates for the collection of additional information, notably the Default Risk Charge (DRC) and the Residual Risk Add-On (RRAO).
- The EBA benchmarking exercise forms the basis for both, supervisory assessment and horizontal analysis on the outcome of internal models.