Recital 1

(1)Pursuant to Article 78(1) of Directive 2013/36/EU, institutions are required to submit to their competent authority, 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 Directive 2013/36/EU, the European Banking Authority (the ‘EBA’) has 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 Commission specified the reporting requirements for the benchmarking exercise in Commission Implementing Regulation (EU) 2016/2070 ² . That Implementing Regulation has been amended regularly to reflect the changes in the focus of the competent authorities’ assessments and of the EBA’s reports. For the same reason, it is necessary to update once more the benchmark portfolios, and thus also the reporting requirements laid down in Implementing Regulation (EU) 2016/2070. In particular, for the market risk benchmarking, it is necessary to include the remaining components of the ASA (Default Risk Charge – DRC and Residual Risk Add-On – RRAO), in addition to the sensitivity-based method (SBM) component already included in the previous benchmarking exercise. For the credit risk benchmarking, a limited number of portfolios that reflect the state of collateralisation should be added to account for the variability of own funds requirements which may arise due to potentially diverging inclusion of credit protection across institutions.