Article 4
Conditions to ensure that the benchmark methodology is resilient and ensures that the benchmark can be calculated in the widest set of possible circumstances, without compromising its integrity
1. Administrators shall assess the impact of various market conditions on the methodology using historical data from stressed market conditions. Where no appropriate historical data are available, administrators of critical benchmarks shall use hypothetical data representing stressed market conditions.
2. Administrators shall use parameters and assumptions in the methodology to capture a variety of historical or, in the case of administrators of critical benchmarks, hypothetical conditions, including the most volatile periods experienced by the markets and taking into account a variety of hypotheses for correlation between underlying assets.
3. Administrators of non-significant benchmarks and regulated-data benchmarks may choose not to apply paragraph 2 with respect to those benchmarks.
4. Administrators may choose not to apply any of the requirements laid down in paragraphs 1 and 2, having regard to the following matters:
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(a) |
the nature, scale and complexity of the provision of the benchmarks; |
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(b) |
the likelihood of a conflict of interest arising in the provision of the benchmarks; |
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(c) |
the level of discretion involved in the process of provision of benchmarks. |