EBA consults on draft templates for collecting data for one-off climate risk scenario analysis

The European Banking Authority (EBA) has launched for consultation draft templates for collecting climate related data from EU banks as part of the one-off Fit-for-55 climate risk scenarios analysis. The draft templates are accompanied by a template guidance, which includes definitions and rules for populating the templates.

This one-off scenario analysis exercise was announced by the European Commission in March 2023 as part of the Commission's 2021 'Strategy for Financing the Transition to a Sustainable Economy'. Its aim is to assess the resilience of the financial sector in line with the Fit-for-55 package and provide insights into the capacity of the financial system to support the transition to a lower carbon economy under conditions of stress.

As a first step, the exercise requires each European Supervisory Authority to produce sector-specific results, based on three ad-hoc climate scenarios (i.e., one baseline and two adverse scenarios) implemented by the European Systemic Risk Board (ESRB)). The analysis will allow the EBA to examine for instance, how asset price corrections triggered by a sudden reassessment of transition or physical risks, propagate through the financial system, and how financial institutions' reactions might amplify stress in the system.

The draft templates are designed to collect climate-related and financial information on credit risk, market risk and real estate risk. Banks are asked to report aggregated and counterparty level data as of 31 December 2022.

Next steps

• The EBA will launch a data collection at the end of November 2023.
  
  
• 70 banks will take part in this exercise (the same banks as those included in the 2023 EU-wide stress test) although competent authorities might request other banks in their respective jurisdictions to participate.
  
  
• The one-off Fit-for-55 climate risk scenario analysis is expected to start by the end of 2023, with publication of results envisaged by Q1 2025.

The consultation closes on 11 October 2023. A public hearing in the form of a workshop will be held on 28 September 2023.

The EBA press release published on 20 July 2023 is available here.