Consultation on draft Implementing Technical Standards (ITS) on appropriately diversified indices

The European Banking Authority (EBA) launches today a consultation on draft Implementing Technical Standards (ITS) to identify a list of relevant appropriately diversified indices for the purposes of calculating the capital requirements for equity risk. The consultation runs until 8 September 2013.

These draft ITS list relevant exchange traded and appropriately diversified indices for which specific risk incorporated in a stock index can be ignored. The list is based on the following criteria:

• Number: the index must comprise a minimum number of equities;
• Concentration: None of the equities or concentration of equities must significantly influence the volatility of the index;
• Diversification: the index must comprise equities that are diversified both from a geographical and economical perspective.

The EBA expects to update this list on a yearly basis and to assess any additional indices identified as relevant by 30 September of each year.

The EBA is requested to submit the final draft ITS on appropriately diversified indices to the European Commission by 1 January 2014.

Consultation process

Comments to the consultation can be sent to the EBA by clicking on the “send your comments” button on the consultation page. Please note that the deadline for the submission of comments is 8 September 2013.

All contributions received will be published following the close of the consultation, unless requested otherwise.

A public hearing covering a number of Binding Technical Standards on market risk, including the ITS on appropriately diversified indices, will take place at the EBA premises on 17 July 2013 from 10:00 to 13:00, UK time. To register for the public hearing, click here.

Background

The EBA has developed these draft ITS on the basis of the final legislative texts of the Capital Requirements Regulation (CRR) produced after the Trialogue agreement and adopted by the Council on 20 June 2013.