Article 3
Conditions to ensure that the benchmark methodology is rigorous, continuous and capable of validation including, where appropriate, back-testing against available transaction data
1. A benchmark methodology as referred to in Article 12(1), point (c), of Regulation (EU) 2016/1011 shall contain all of the following:
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(a) |
an assessment of the adequacy and appropriateness of the historical values of the benchmark produced by that methodology; |
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(b) |
reliable input data, including appropriate size of the data samples, if any. |
2. Benchmark administrators shall ensure that any back-testing to which the benchmark methodology is subject takes place ex post and refers to an appropriate time horizon.
Back-testing shall take place at least at each annual review of the benchmark methodology and following any material change of that methodology. For regulated-data benchmarks, back-testing shall take place at the first provision of the benchmark. For critical benchmarks, a monthly back-testing shall be performed.
The benchmark methodology shall include an assessment of the back-testing results, including processes to ensure that systemic anomalies highlighted by back-testing are identified and properly addressed.