Reporting modules by name

For market risk benchmarking, the changes will be limited in light of the second postponement of the FRTB. The set of instruments and subjects in the scope of the exercise will not change substantially compared to the previous exercise. Minor changes to the templates' structure include a new template for reporting the ASA validation information. Data collection will also be restricted to the ASA information set compared to the previous exercise.

For market risk benchmarking, the EBA suggests reshaping the classical portfolios and expanding the validation portfolios for the Alternative Standardised Approach. In light of the FRTB postponement, the FRTB templates and instructions for collecting the alternative internal model approach (AIMA)  FRTB risk measures (expected shortfall, default risk charge, and stress scenario risk measure) were paused.

Due to the complexity to fully reconstruct the historical record, it has been agreed to assume that the change occurred at version 4.0. Consequently, only subsequent modifications will be reflected in the TT.

For market risk benchmarking, the changes will be limited in light of the second postponement of the FRTB. The set of instruments and subjects in the scope of the exercise will not change substantially compared to the previous exercise. Minor changes to the templates' structure include a new template for reporting the ASA validation information. Data collection will also be restricted to the ASA information set compared to the previous exercise.