The European Banking Authority published an update to its Implementing Technical Standards on benchmarking of internal approaches. The ITS include all benchmarking portfolios that will be used for the 2019 benchmarking exercise.
This update includes changes and clarifications that the EBA introduced based on the consultation paper that was published on 18 December 2017. For the market risk benchmarking, the portfolios have been significantly updated. After three years of exercises (2016-2018), a new set of portfolios have been introduced, which are significantly simpler in their composition and consist of plain vanilla instruments. This will allow a broader coverage of the instruments in the 2019 exercise.
Minor changes have been introduced for the credit risk portfolios, but adjustments have been made to the data requested from institutions.
These changes most notably include:
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a distinction between on- and off-balance sheet exposures,
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adjustments to the metrics for benchmarking portfolios,
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a new split by collateral types and
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separation of specialised lending exposures.
In addition, it should be noted that the transitional provision that allowed institutions not to report a benchmarking metric based on the Standardised Approach (SA) has expired.
Press release
Draft benchmarking package
© EBA
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