Follow Us

Follow us on Twitter  Follow us on LinkedIn

30 January 2017

EBA reminds CAs of key deadlines and the ITS to be used for running the 2017 supervisory benchmarking exercise of internal approaches

Default: Change to:

Despite the pending approval by the European Commission of the amended Implementing Technical Standard on benchmarking, compliance with the proposed deadlines will ensure a smooth and timely start of the 2017 exercise.

The amended ITS on benchmarking of internal approaches, which was submitted to the European Commission on 4 August 2016, will allow supervisors and the European Banking Authority (EBA) to run the 2017 exercise based on the data requirements specified therein. The amendments were necessary to update the portfolios to be covered in the assessment. In particular, the 2017 exercise will cover credit risk for the so-called low default portfolios (large corporate, sovereign, and financial institutions) and market risk portfolios. In addition, the hypothetical portfolios have been excluded from the credit risk exercise.

All EU institutions using internal approaches to calculate capital requirements will be subject to an assessment of their internal approaches and are, therefore, required to submit to their Competent Authorities the data on those portfolios according to the deadlines specified below.

Market risk: 

  • Risk measures remittance date: banks shall submit risk measures data (VaR / sVaR / IRC / APR/P&L time series) to 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 yearly series from 15 February 2016 to 17 February 2017.

Credit risk:

  • Low default portfolios data remittance date:  banks shall submit low default portfolio figures to Competent Authorities by 11 April 2017.

Banks shall provide figures as of 31 December 2016.

Press release

Regulatory and Implementing Technical Standards on benchmarking portfolios


< Next Previous >
 Hover over the blue highlighted text to view the acronym meaning
Hover over these icons for more information

Add new comment