Supervisory benchmarking exercises

Internal approaches used for the calculation of own funds requirements for market and credit risk are subject to an annual assessment by competent authorities. The EBA assists competent authorities in their assessment by providing a report, which includes benchmarks that help identify any material differences in RWA outcomes. The legal basis for the benchmarking exercises is laid down in the Capital Requirements Directive (CRD), in particular Article 78, as well as in the following technical standards provided by the EBA: a) Regulatory Technical Standards (RTS) on the assessment of the internal approaches adopted by institutions and the procedures for sharing those assessments between competent authorities; b) Implementing Technical Standards (ITS) specifying the benchmarking portfolios and reporting instructions for institutions to be applied in the annual benchmarking exercises.

Technical Standards, Guidelines & Recommendations

  • ITS package for 2020 benchmarking exercise

    The amended Commission's Implementing Regulation on benchmarking of internal models aims at adjusting the benchmarking portfolios and reporting requirements in view of the 2020 EBA benchmarking exercise. The changes aim at simplifying the portfolio's structure for the credit risk part of the exercise, and getting more insight into the model used for pricing for the market risk part of the exercise.

    Status: Under development

  • ITS package for 2019 benchmarking exercise

    The amended Commission's Implementing Regulation on benchmarking of internal models aims at adjusting the benchmarking portfolios and reporting requirements in view of the 2020 EBA benchmarking exercise. The changes aim at simplifying the portfolio's structure for the credit risk part of the exercise, and getting more insight into the model used for pricing for the market risk part of the exercise.

    Status: Adopted and published in the Official Journal

  • ITS package for 2018 benchmarking exercise

    The amended ITS include minor changes and clarifications in view of the 2018 benchmarking exercise. These updates do not entail any change to the policy or legal content of the technical standards but eliminate inconsistencies in wording and facilitate harmonised data submissions in April 2018. For this reason, the EBA has not conducted any public consultation on this specific update.

    Status: Adopted and published in the Official Journal

  • ITS package for 2017 benchmarking exercise

    The amended ITS include changes to assist competent authorities in their 2017 assessment of internal approaches for both credit and market risk. The EBA plans to annually update the ITS and to maintain them on a regular basis to ensure the success and quality of future benchmarking exercises. The updates on credit risk introduced a distinction between regulatory approaches between types of risk, and removed the data collection on hypothetical transactions. The market risk updates were focused on technical corrections of specific instruments. The EBA has not conducted any public consultation on this specific update, given the non-significant changes.

    Status: Adopted and published in the Official Journal

  • RTS and ITS 2016 on benchmarking portfolio assessment standards and assessment sharing procedures

    The final draft Regulatory Technical Standards (RTS) and Implementing Technical Standards (ITS) specify in detail the framework for EU institutions and competent authorities to carry out the annual supervisory benchmarking foreseen by the Capital Requirements Directive (CRD). The standards define the benchmarking portfolios as well as the methodology that competent authorities across the EU shall use in order to assess the quality of institutions' internal approaches for capital calculation purposes. This work is part of the EBA's efforts to address possible inconsistencies in the calculation of risk-weighted assets (RWAs) across the EU Single Market and to ultimately restore confidence in EU banks' capital and internal models.

    Status: Adopted and published in the Official Journal

Opinions, Reports and other Publications

 

Opinions

Reports

Credit risk

  • EBA results from the credit risk benchmarking exercise 2018 (HDP + LDP), published in January 2019 (data source 31/12/2017)  [6,902KB]

    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. The reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.

    10/01/2019

    Read more»

  • EBA results from the credit risk benchmarking exercise 2017 (LDP), published in November 2017 (data source 31/12/2016) [954KB]

    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. The reports cover credit risk for large corporate, institutions, and sovereign portfolios (collectively referred to as "low default portfolios" - LDP), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.

    14/11/2017

    Read more »

  • EBA results from the credit risk benchmarking exercise 2016 (HDP), published in March 2017 (data source 31/12/2015) [5,145KB]

    The European Banking Authority (EBA) published today two reports on the consistency of RWAs, and for the first time, across all EU institutions authorised to use internal approaches for the calculation of capital requirements. The reports cover residential mortgage, SME and other corporate portfolios (collectively referred to as "high default portfolios" - HDP), as well as market risk. The results confirm previous findings and establish these annual benchmarking exercises as a fundamental supervisory tool to restoring trust in internal models.

    03/03/2017

    Read more »
  • EBA results from the credit risk benchmarking exercise 2015 (LDP - pilot implementation of future benchmarking exercises), published in July 2015 (data source 30/06/2014) [2,429KB]

    The European Banking Authority (EBA) published today two reports on the consistency of RWAs across large EU institutions for large corporate, sovereign and institutions' IRB portfolios, (collectively referred to as "low default portfolios" - LDP), as well as for the calculation of counterparty credit risk (CCR) exposures under the Internal Model Method (IMM) and the credit value adjustments (CVA) according to the advanced approach (ACVA). The reports summarise the findings obtained from two benchmarking exercises conducted in line with the mandate laid down in the Capital Requirements Directive (CRD) and related draft technical standards. The benchmarking exercises aim at improving the comparability of EU banks' RWAs and are a crucial tool to restoring trust in internal models.

    22/07/2015

    Read more »

Other Publications

  • Report on the pro-cyclicality of capital requirements under the Internal Ratings Based Approach [1200KB]

    In the context of its ongoing work on comparability of RWAs, the European Banking Authority (EBA) published today three reports: (i) an interim report on the consistency of RWAs in SMEs and residential mortgages portfolios; (ii) a report on the comparability of supervisory rules and practices; and (iii) a report on variability of RWAs for market risk portfolios. Furthermore, the EBA also released its report on the pro-cyclicality of banks' capital requirements, which supplements the work on comparability, together with a summary report that compiles all the work on comparability of RWAs for IRB models.

  • Summary report on the comparability and pro-cyclicality of capital requirements under the Internal Ratings Based Approach in accordance with Article 502 of the Capital Requirements Regulation [857KB]

    In the context of its ongoing work on comparability of RWAs, the European Banking Authority (EBA) published today three reports: (i) an interim report on the consistency of RWAs in SMEs and residential mortgages portfolios; (ii) a report on the comparability of supervisory rules and practices; and (iii) a report on variability of RWAs for market risk portfolios. Furthermore, the EBA also released its report on the pro-cyclicality of banks' capital requirements, which supplements the work on comparability, together with a summary report that compiles all the work on comparability of RWAs for IRB models.

  • Fourth report on the consistency of risk weighted assets [1201KB]

    The European Banking Authority (EBA) published today a second report on the consistency of risk weighted assets (RWAs) in the residential mortgage portfolio. The report, which is part of a wider ongoing EBA work on comparability of RWAs, illustrates the findings of a so called "drill-down analysis", an investigation on the extent to which the most commonly used risk drivers influence the variability in risk weights. Overall, the analysis confirmed that risk parameters, such as loan to value, are drivers of RWAs. However, there are differences in how the banks reflect such drivers in RWAs. The objective of this analysis was to understand if and how different variables describing the portfolios - besides the country cluster variables - could explain the differences in risk-weights across EU banks which were found in the first phase of this analysis.

  • Comparability of supervisory rules and practices, published in December 2013 (data source 30/06/2014)  [301KB]

    In the context of its ongoing work on comparability of RWAs, the European Banking Authority (EBA) published today three reports: (i) an interim report on the consistency of RWAs in SMEs and residential mortgages portfolios; (ii) a report on the comparability of supervisory rules and practices; and (iii) a report on variability of RWAs for market risk portfolios. Furthermore, the EBA also released its report on the pro-cyclicality of banks' capital requirements, which supplements the work on comparability, together with a summary report that compiles all the work on comparability of RWAs for IRB models.

    18/12/2013

    Read more»

  • Summary report on the comparability and pro-cyclicality of capital requirements, published in December (data source 2012-2013) [1,343KB]

    In the context of its ongoing work on comparability of RWAs, the European Banking Authority (EBA) published today three reports: (i) an interim report on the consistency of RWAs in SMEs and residential mortgages portfolios; (ii) a report on the comparability of supervisory rules and practices; and (iii) a report on variability of RWAs for market risk portfolios. Furthermore, the EBA also released its report on the pro-cyclicality of banks' capital requirements, which supplements the work on comparability, together with a summary report that compiles all the work on comparability of RWAs for IRB models.

    18/12/2013

    Read more »

     

  • Third interim report (bottom-up): SME and residential mortgages, published in December 2013 (data source 30/06/2014) [2,859KB]

    In the context of its ongoing work on comparability of RWAs, the European Banking Authority (EBA) published today three reports: (i) an interim report on the consistency of RWAs in SMEs and residential mortgages portfolios; (ii) a report on the comparability of supervisory rules and practices; and (iii) a report on variability of RWAs for market risk portfolios. Furthermore, the EBA also released its report on the pro-cyclicality of banks' capital requirements, which supplements the work on comparability, together with a summary report that compiles all the work on comparability of RWAs for IRB models.

    18/12/2013

    Read more »

     

  • Second interim report (hypothetical portfolio exercise + top-down): LDP, published in August 2013 (data source 30/06/2014) [1,634KB]

    The European Banking Authority (EBA) released today its second interim report on the regulatory consistency of risk-weighted assets (RWAs) for credit risk in the banking book. This report illustrates the outcomes of the next stage in the EBA's review into RWA consistency in sovereigns, institutions and large corporate exposures, generally referred to as low default portfolios (LDP). The aim was to identify and further understand the sources of any material differences in RWA outcomes for portfolios which are specifically challenging for the banks due to limited availability of data. This analysis is closely aligned with the global work of the Basel Committee which recently released the results of their report.

    05/08/2013

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  • First interim report (top-down), published in February 2013 (data source ) [1,422.3KB]

    The European Banking Authority (EBA) released today its second interim report on the regulatory consistency of risk-weighted assets (RWAs) for credit risk in the banking book. This report illustrates the outcomes of the next stage in the EBA's review into RWA consistency in sovereigns, institutions and large corporate exposures, generally referred to as low default portfolios (LDP). The aim was to identify and further understand the sources of any material differences in RWA outcomes for portfolios which are specifically challenging for the banks due to limited availability of data. This analysis is closely aligned with the global work of the Basel Committee which recently released the results of their report.

    26/02/2013

    Read more »

Market risk

  • EBA results from the market risk benchmarking exercise 2018, published in January 2019 (data source 2017 - 2018)  [1,934KB]

    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. The reports cover credit risk for high and low default portfolios (LDPs and HDPs), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.

    10/11/2019

    Read more»

  • EBA results from the market risk benchmarking exercise 2017), published in November 2017 (data source 2016 - 2017)  [2750KB]

    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. The reports cover credit risk for large corporate, institutions, and sovereign portfolios (collectively referred to as "low default portfolios" - LDP), as well as market risk. The results confirm previous findings, with the majority of risk-weights (RWs) variability explained by fundamentals. These benchmarking exercises, conducted by the EBA on an annual basis are a fundamental supervisory and convergence tool to address unwarranted inconsistencies and restoring trust in internal models.

    14/11/2017

    Read more»

  • EBA results from the market risk benchmarking exercise 2016), published in March 2017 (data source 2015 - 2016) [2,045KB]

    The European Banking Authority (EBA) published today two reports on the consistency of RWAs, and for the first time, across all EU institutions authorised to use internal approaches for the calculation of capital requirements. The reports cover residential mortgage, SME and other corporate portfolios (collectively referred to as "high default portfolios" - HDP), as well as market risk. The results confirm previous findings and establish these annual benchmarking exercises as a fundamental supervisory tool to restoring trust in internal models.

    03/03/2017

    Read more»

  • EBA results from the CCR benchmarking exercise 2014, published in July 2015 (data source 2014 - 2015) [1,944KB]

    The European Banking Authority (EBA) published today two reports on the consistency of RWAs across large EU institutions for large corporate, sovereign and institutions' IRB portfolios, (collectively referred to as "low default portfolios" - LDP), as well as for the calculation of counterparty credit risk (CCR) exposures under the Internal Model Method (IMM) and the credit value adjustments (CVA) according to the advanced approach (ACVA). The reports summarise the findings obtained from two benchmarking exercises conducted in line with the mandate laid down in the Capital Requirements Directive (CRD) and related draft technical standards. The benchmarking exercises aim at improving the comparability of EU banks' RWAs and are a crucial tool to restoring trust in internal models.

    22/07/2015

    Read more »

Decisions and recommendations