The European Banking Authority (EBA) has published a set of papers for benchmarking the internal approaches that EU institutions use to calculate own-funds requirements for credit and market risk exposures.

The final draft regulatory technical standards specify the procedures for sharing the assessments between the competent authorities and with the EBA as well as the standards that will be used by competent authorities to assess the internal approaches banks apply to calculate their capital requirements for market and credit risk. The final draft implementing technical standards specify the benchmarking portfolios as well as the templates, definitions and IT solutions that should be applied in the benchmarking exercise for market and credit risk.

The EBA has also published its response to a call for advice by the European Commission on the benchmarking process. In its response the EBA has provided a preliminary assessment of the different issues related to the functioning of the benchmarking process, such as the usefulness of these kinds of exercises, the appropriateness of its scope and frequency, the suitability of the current legal setting, the need to introduce proportionality, or the usefulness of extending the scope of the exercise to include the advanced measurement approaches for operational risk.

View EBA delivers benchmarking package, 2 March 2015