Basel Committee issues QIS5 instructions

The new workbook has been improved to reflect the changes from QIS3, including the move to an unexpected loss (UL)-only framework, and the different treatment of provisions. QIS4, which was only conducted in Germany, USA and South Africa, reflected several changes from QIS3, including the entry of separate LGD values for non-defaulted and defaulted assets in the worksheets for the advanced IRB approach.

The main changes from QIS4 to QIS5 relate to the treatment of repo and OTC derivatives

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