The European Banking Authority (EBA) published today a reminder to competent authorities of the key dates for the submission of data for the 2017 benchmarking exercise for internal approaches for credit and market risk. This would ensure a smooth and timely start of the exercise although the Commission's endorsement of the amended version of the Implementing Technical Standards (ITS) on benchmarking of internal approaches for running the 2017 exercise is still pending.
The ITS on benchmarking of internal approaches will allow supervisors and the EBA to run the 2017 exercise based on the data requirements specified in the amended standards, which the EBA submitted to the European Commission on 4 August 2016. The amendments were necessary to update the portfolios to be covered in the assessment. In particular, the 2017 exercise will cover market risk and credit risk for the so-called low default portfolios (large corporate, sovereign and financial institutions) .
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 respective competent Authority the data on those portfolios according to the deadlines specified below:
Initial Market Valuations (IMVs) remittance date: banks shall submit IMV figures to national competent authorities by 4 November 2016.
Banks shall book the positions on 13 October 2016 and shall be evaluated as of 27 October 2016 at 05.30 pm CET (4:30 pm GMT).
Risk measures remittance date: banks shall submit risk measures data (VaR / sVaR / IRC / APR/P&L time series) to national competent authorities by 11 April 2017.
VaR, s-VaR, IRC and APR shall be computed as from 6 February 2017 to 17 February 2017. Banks using historical simulation shall compute the daily P&L as from 15 February 2016 to 17 February 2017.
Low default portfolio data remittance date: banks shall submit low default portfolio figures to national competent authorities by 11 April 2017.
Banks shall provide figures as of 31 December 2016.