The European Banking Authority (EBA) published today an amended version of its Implementing Technical Standards (ITS) on benchmarking of internal approaches. These amendments aim at ensuring a better quality of the submitted data and, ultimately will assist the EBA and competent authorities in their 2018 assessment of internal approaches for credit and market risk. The EBA plans to annually update the ITS to ensure future benchmarking exercises are relevant and successful.
The draft ITS reflect the Single Rulebook at the reporting level and, therefore, need to be updated whenever the Single Rulebook is updated. Answers to questions about the Single Rulebook raised using the Q&A mechanism have contributed to more precise reporting instructions and definitions.
In addition to the Q&A-driven changes, updates to the benchmarking portfolios were necessary to facilitate the 2018 benchmarking exercise for both credit and market risk, so that they remain relevant for supervisors.
These amendments are expected to be applicable to the submission of initial market valuation data in November 2017 and of other market and credit risk data in April 2018.
Article 78 of Directive 2013/36/EU (the CRD) requires competent authorities to make an annual assessment of the quality of internal approaches used for the calculation of own funds requirements. The same Article requires the EBA to produce a report to assist competent authorities in this assessment. The EBA's report is based on data submitted by institutions as specified in the draft ITS which specify the benchmarking portfolios and reporting requirements that should be applied in the annual benchmarking exercises by institutions using internal approaches for market and credit risk.