EBA Report on the 2021 Credit Risk Benchmarking Exercise.pdf
Report on the 2021 Credit Risk Benchmarking Exercise
Report on the 2021 Credit Risk Benchmarking Exercise
Annex - chart pack to EBA Report on the 2021 Credit Risk Benchmarking Exercise
Final draft RTS amending RTS on the calculation of specific credit risk adjustments
The European Banking Authority (EBA) published today its final report on the draft Regulatory Technical Standards (RTS) amending its RTS on credit risk adjustments in the context of the calculation of the Risk Weight (RW) of defaulted exposures under the Standardised Approach (SA) of credit risk. The proposed amendments follow up on the European Commission’s Action Plan to tackle Non-Performing Loans (NPL) in the aftermath of the COVID-19 pandemic, which indicated the need for a revision of the treatment of purchased defaulted exposures under the SA. This revision is necessary to ensure that the prudential framework does not create disincentives to the sale of non-performing assets by banks.
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) specifying the methodology to apply to calculate the risk-weighted exposure amounts, in the context of the mandate-based approach when there are some missing inputs.
Final draft RTS on the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs)
The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) specifying the types of factors and conditions to be considered for the assessment of the appropriateness of risk weights and of minimum loss given default (LGD) values. These final draft RTS will support relevant authorities across EU Member States in carrying out their periodical assessments by striking the right balance between ensuring coherence and harmonisation of their assessments and preserving the necessary flexibility.
Final Report on draft RTS on Articles 124 (4) and 164 (8) of the CRR
The European Banking Authority (EBA) launched today a public consultation on amendments to its Regulatory Technical Standards (RTS) on credit risk adjustments in the context of the calculation of the Risk Weight (RW) of defaulted exposures under the Standardised Approach (SA). The proposed amendments follow up on the European Commission’s Action Plan to tackle non-performing loans in the aftermath of the COVID-19 pandemic, which indicated the need for a revision of the treatment of defaulted exposures under the SA. This update is necessary to ensure the prudential framework does not create disincentives to the sale of non-performing assets. The consultation runs until 23 September 2021.
Consultation paper on RTS amending RTS on CRA
The European Banking Authority (EBA) published today a consultation paper on a draft Regulatory Technical Standards specifying the types of factors to be considered for the assessment of appropriateness of risk weights and the conditions to be taken into account for the assessment of appropriateness of minimum loss given default (LGD) values for exposures secured by immovable property. The consultation runs until 29 July 2021.
The European Banking Authority (EBA) published today two Reports on the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements for 2020. The Reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm that the majority of risk-weights (RWs) variability can be explained by fundamentals. These benchmarking exercises are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.
EBA Report results from the 2020 Credit Risk Benchmarking Report
Annex - Chart Pack from the 2020 Credit Risk Benchmarking Exercise
The European Banking Authority (EBA) published today additional clarifications on the application of the prudential framework in response to issues raised as a consequence of the COVID-19 pandemic. These clarifications update the FAQ section of the EBA Report on COVID-19 implementation policies, which provides clarity on the implementation of (i) the EBA Guidelines on moratoria and (ii) the EBA Guidelines on COVID-19 reporting and disclosure. This Report is part of the EBA’s wider monitoring of the implementation of COVID-19 policies as well as of the application of existing policies under these exceptional circumstances.
Report on the implementation of selected COVID-19 policies
EBA report on the implementation of selected COVID-19 policies
The European Banking Authority (EBA) launched today a consultation on Regulatory Technical Standards (RTS) on the calculation of risk-weighted exposure amounts of collective investment undertakings (CIUs) in line with the Capital Requirements Regulation (CRR). The proposed draft RTS, which will contribute to the calculation of own funds requirements for the exposures in the form of units or shares in CIUs under the Standardised Approach for credit risk, clarify the regulatory treatment for missing inputs when the underlying risk of derivatives is unknown and for the computation of the exposure value for counterparty credit risk. The consultation runs until 16 March 2021.