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The European Banking Authority (EBA) published today its Reports on the annual market and credit risk benchmarking exercises. These exercises aim at monitoring the consistency of risk weighted assets (RWAs) across all EU institutions authorised to use internal approaches for the calculation of capital requirements. Regarding market risk, for the majority of participating banks, the results confirm low dispersion in the initial market valuation (IMVs) and increased dispersion in the VaR submissions. For credit risk, the variability of RWA remained rather stable, despite the pandemic and banks’ efforts to re-develop or re-calibrate their models to comply with the policies set out in the EBA internal rating-based (IRB) roadmap.  A particular focus has been put on analysing the impact of the pandemic and the compensating public measures on the IRB models.

The European Banking Authority (EBA) published today the findings of its assessment of competent authorities’ responses to the 2020 Luanda leaks. The EBA found that competent authorities across the EU adopted significantly different approaches for identifying and tackling money laundering (ML) and terrorist financing (TF) risks highlighted by the leaks. These approaches varied beyond what the EBA would have expected under a risk-based approach.

The European Banking Authority (EBA) published today its updated questionnaires used for the assessment of regulatory and supervisory frameworks of third countries, to reflect certain provisions recently introduced by the revised prudential regulation in the EU.