Response to consultation Paper on draft ITS amending the benchmarking Regulation
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IMV reference date: “5 working days after the booking date”
RM final reference date: “10 working days after the RM initial reference date”
Q4: Stakeholders are invited to express their view on the new reference date specification with respect the precedent method to specify the reference dates for the exercise.
We feel the IMV reference date and RM final reference date and similarly defined reference dates are ambiguous, as the definition implies that everyone uses the same business calendar – which, even if holds true for the two mentioned reference dates in 2020-2021, might be a strong assumption for years ahead:IMV reference date: “5 working days after the booking date”
RM final reference date: “10 working days after the RM initial reference date”
Q5: Stakeholders are invited to express their view on the implementation of the Benchmarks Regulation, in terms of which rate to apply in the instruments in the market risk exercise.
According to current migration timelines, the 2020-2021 Benchmark exercise should still not be impacted (according to the timeline, the LIBOR setup ceases to exist from end of 2021). A market consensus on the calculation specifics of the new benchmarks curve is still to be agreed upon. For these reasons, some of our members plan to continue using EURIBOR and LIBOR setup for the upcoming 2020-2021 EBA Benchmarking exercise.Upload files
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