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Consultation Paper draft RTS on the method for identifying the main risk driver of a position and for determining whether a transaction represents a long or a short position
List of EU regional governments and local authorities treated as exposures to central governments under Article 115(2) of Regulation (EU) 575/2013
Public hearing on Regulatory Technical Standards on the allocation of off-balance sheet items and UCC considerations
EBA publishes annual assessment of banks’ internal approaches for the calculation of capital requirements
The European Banking Authority (EBA) today published its 2023 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 a relatively low dispersion in the initial market valuation (IMVs) of most of the instruments, and a decrease in the dispersion in the value at risk (VaR) submissions compared to the previous exercise. For credit risk, the variability of RWAs remained stable compared with the previous year, but for some asset classes a reduction could be observed in a longer perspective.