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.
Roll out for the benchmarking of accounting metrics (IFRS9) to high default portfolios (HDP).
Credit risk benchmarking is subject to very minor changes to clarify the mandatory nature (if applicable) of reporting the probability of default and the loss given default risk parameters concerning the Margin of Conservatism, regulatory add-on, and downturn component. These changes also clarify the use of internal model IDs used with the Competent Authorities.
Minor changes to COREP templates reported
Amendments to the ITS on Supervisory Reporting linked to changes and new requirements in relation to CRR3/CRD6 in step 1 (necessary changes to implement and monitor Basel III requirements in the EU)