The European Banking Authority has recalled the key deadlines competent authorities should comply with for the submission of data needed to perform the 2017 supervisory benchmarking exercise. 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 according to the following deadlines:
- market risk – banks must submit risk measures data (VaR / sVaR / IRC / APR/P&L time series) by 11 April 2017 (the risk measures remittance date). VaR, s-VaR, IRC and APR must be computed as from 6 February 2017 to 17 February 2017. Banks using historical simulation must compute the daily P&L yearly series from 15 February 2016 to 17 February 2017; and
- credit risk – banks must submit low default portfolio figures by 11 April 2017 (the low default portfolios data remittance date). Banks must provide figures as of 31 December 2016.