The European Banking Authority (EBA) has published a Consultation Paper on draft implementing technical standards (ITS) and regulatory technical standards (RTS) which are intended to specify the framework for the conduct of annual supervisory benchmarking of internal approaches for calculating own funds requirements for credit and market risk exposures.
The draft ITS provide:
- a set of benchmark portfolios for credit and market risk based on recent EBA experiences; and
- templates, definitions and IT solutions that EU banks will be asked to use when reporting the results of their calculations of capital requirements.
The draft RTS define:
- the common general benchmarks for credit and market portfolios to be used by the competent authorities in the assessment of the quality of the internal approaches; and
- the procedures for sharing the results of the assessment of internal approaches carried out by each competent authority with both the EBA and the other relevant competent authorities.
The deadline for responding to the Consultation Paper is 19 August 2014.