|
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:
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.