The European Banking Authority (EBA) plans to annually update the Implementing Technical Standards (ITS) and to maintain them on a regular basis to ensure the success and quality of future benchmarking exercises.
The amended ITS on benchmarking of internal approaches will allow the EBA to run its 2016 exercise based on the data requirements specified in the amended standards. In particular, the 2016 exercise will cover credit risk for the so-called high-default portfolios (small and medium enterprises and retail) and market risk portfolios as well as some information about the models used to produce the results.
All EU institutions using internal approaches to calculate capital requirements will be subject to an assessment of their internal approaches and are required to submit to their Competent Authorities the data on those portfolios by close of business on 30 June 2016.
Changes to the ITS will be applied annually since some features of the instruments or counterparties included in the benchmarking portfolios require regular updating as they may become obsolete or cease to exist.
The EBA is currently taking into consideration the changes to the portfolios relevant for the 2017 exercise. These too will be transmitted to the European Commission and published after the adoption by the EBA Board of Supervisors.
Press release
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