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EBA issues Opinion to the European Commission on the proposed amendments to the EBA final draft RTS on IRB assessment methodology

... as regards the EBA final draft RTS specifying the assessment methodology competent authorities are to follow ... of internal models, approaches towards grade assignment and risk parameter estimation as well as any governance and ... be stressed, that the EBA work on the comparability of risk weighted exposures (RWAs) have in the past demonstrated ...

Guidelines on the recognition of External Credit Assessment Institutions

... for a common approach to the recognition of External Credit Assessment Institutions (ECAIs) under the Capital ... for a common approach to the recognition of External Credit Assessment Institutions (ECAIs) under the Capital ... to use external credit ratings to determine the risk weights of their credit exposures. ECAIs must be ...

The EBA observes a reduction of high earners in 2020 and a slight decrease of bonus levels in the context of the COVID-19 pandemic

... practices in EU banks for the financial years 2019 and 2020 and high earners data (EU27/EEA) for 2020. The number ... relatively stable, a visible reduction can be observed for risk takers (identified staff). The European Banking ... relatively stable, a visible reduction can be observed for risk takers (identified staff). The weighted average ratio ...

The EBA observes achievements in a number of key areas of the supervisory review across the EU, but also highlights items requiring continued attention

... today its Report on convergence of supervisory practices in 2020. Notwithstanding a refocusing of supervisory practices ... in 2020, increased supervisory attention was given to the assessment of profitability and the business model (closely ... to asset quality), as well as to selected areas of ICT risk and operational resilience, while the loan origination ...

ESAs define risk weights for credit ratings in the EU

... two draft Implementing Technical Standards (ITS) on credit assessments by External Credit Assessment Institutions ... By determining an objective approach for attributing risk weights to the assessments of ECAIs, as well as a ... By determining an objective approach for attributing risk weights to the assessments of ECAIs, as well as a ...

EBA publishes its regular assessment of EU banks internal model outcomes

... to as "high default portfolios" - HDP), as well as market risk. The results confirm previous findings and establish ... to as "high default portfolios" - HDP), as well as market risk. The results confirm previous findings and establish ... concerns, such as the report specifying the methodology assessment that competent authorities shall follow when ...

Report on the assessment of SME proposals for CRD IV/CRR

... European Commission, analyses the appropriateness of the Risk Weights (RWs) for Retail SME lending proposed in the ... European Commission, analyses the appropriateness of the Risk Weights (RWs) for Retail SME lending proposed in the ... data and Balance Sheet Central Banks data, the EBA's assessment concludes that a great caution should be ...

EBA consults on draft technical standards on default probabilities and loss given default for default risk model under the internal approach for market risk

... (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model ... in the roadmap for the new market and counterparty credit risk approaches published on 27 June 2019. The consultation runs until 22 October 2020. The European Banking Authority (EBA) launched a ...

The EBA reminds financial institutions of the need for readiness in view of the Brexit transition period ending on 31 December 2020

... before the end of the transition period on 31 December 2020. The EBA also reminds institutions to ensure adequate ... that associated management capacity, including appropriate risk management capabilities, is effectively in place in the ... magnitude, scope and complexity of their activities and the risks they generate in their EU operations. Financial ...

EU-wide pilot exercise on climate risk

The EU-wide pilot exercise on climate risk aims at mapping banks’ exposures to climate risk and at providing an insight into the green estimation ... from a climate perspective, in particular, on transition risk. Documents EU-wide pilot exercise on climate risk Data ...

EBA publishes full impact assessment of Basel reforms on EU banks

Following up on the cumulative assessment published on 7 December 2017, the European ... reflects all the revisions to the credit and operational risk approaches, as well as to the process for the ... package on banks' minimum required capital, capital ratios (risk-based and non-risk-based) and capital shortfalls; The ...

Implementing Technical Standards on specific reporting requirements for market risk

... (ITS) on supervisory reporting requirements for market risk are the first elements of the Fundamental Review of the ... books and the volume of their business subject to market risk, and a summary template, reflecting the own funds ... the ‘Alternative Standardised Approach’ for market risk (MKR-ASA). The reporting requirements on the new market ...

Policy Expert in Investment firms and Operational risk

... 8/2021 Policy Expert in Investment firms and Operational risk ...

EBA consults on the conditions for assessing the materiality of extensions and changes of internal approaches for credit, market and operational risk

... own funds requirements for credit, market and operational risk. These RTS will be part of the Single rulebook aimed at ... own funds requirements for credit, market and operational risk. These RTS will be part of the Single rulebook aimed at ... In this respect, the proposed RTS aim at harmonising the assessment of the materiality of extensions and changes to ...

EBA publishes guidelines on ICT and security risk management

... published today its final Guidelines on ICT and security risk management. These Guidelines establish requirements for ... information and communication technology (ICT) and security risks and aim to ensure a consistent and robust approach ... market. These Guidelines will enter into force on 30 June 2020.   The increasing digitalisation in the financial ...

CEBS publishes consultation paper on options and national discretions in the CRD.

... by market participants in their responses to CEBS's public questionnaire. When elaborating its views, CEBS has ... from the input already provided by responses to its public questionnaire and in regular meetings with experts ... proposals presented are supported by a high level impact assessment/cost-benefit analysis. CEBS is proposing to keep ...

Guidelines on the pragmatic 2020 supervisory review and evaluation process in light of the COVID-19 crisis

... review and evaluation process (SREP) for the year 2020. In particular, they identify how flexibility and ... COVID-19 pandemic. Documents Guidelines on the pragmatic 2020 SREP Compliance table (Updated 9 June 2021) ... sl Slovenščina sv svenska Guidelines on the pragmatic 2020 supervisory review and evaluation process in light of ...

Regulatory Technical Standards on the treatment of non-trading book positions subject to foreign-exchange risk or commodity risk

... should calculate the own funds requirements for market risk for their non-trading book positions that are subject to foreign-exchange risk or commodity risk under the FRTB standardised and ... risk or commodity risk Links Market risk EBA-CP-2020-01 Regulatory Technical Standards on the treatment of ...

EBA provides further guidance on the use of flexibility in relation to COVID-19 and calls for heightened attention to risks

... will guide supervisory approaches in relation to market risk, the Supervisory Review and Evaluation Process (SREP), ... 66% aggregation factor to be applied until the 31 December 2020 under the so-called core approach. Furthermore, ... also recognises the need for a pragmatic approach to SREP assessments in 2020, focusing on the most material risks and ...

EBA Peer Review finds credit valuation adjustment risk is overall supervised sufficiently and recommends some follow-up measures to further strengthen supervision

... in a third country from credit valuation adjustment (CVA) risk. The Review found that the competent authorities targeted in this review assessed CVA risk sufficiently although some elements of such an assessment were missing. The EBA, therefore, has set out a ...