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The European Banking Authority (EBA) launched today a public consultation on its draft Regulatory Technical Standards (RTS) on the assessment methodology under which competent authorities verify institutions’ compliance with the requirements applicable to their internal models under the Fundamental Review of the Trading Book (FRTB) rules. These RTS are part of the phase 4 deliverables of the EBA roadmap for the new market and counterparty credit risk approaches. The consultation runs until 26 June 2023.

The European Banking Authority (EBA) published today its Reports on the annual market and credit risk benchmarking exercises conducted in 2022. 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 rather stable, despite the pandemic and the different banks’ pace in complying 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) today published a no-action letter stating that competent authorities should not prioritise any supervisory or enforcement action in relation to the new banking book – trading book boundary provisions.

The European Banking Authority (EBA) updated today the list of diversified indices, originally published in 2013 and previously updated in 2019. The list is part of the implementing technical standards (ITS) drafted to calculate the capital requirements for position risk in equities according to the standardised rules. The list has been updated according to the procedure and methodology laid down in the ITS and submitted to the European Commission for endorsement.

The European Banking Authority (EBA) published today its final draft Regulatory Technical Standards (RTS) on probabilities of default (PDs) and losses given default (LGDs) for default risk model for institutions using the new Internal Model Approach (IMA) under the Fundamental Review of the Trading Book (FRTB). These final draft RTS specify the requirements for estimating PDs and LGDs using an institution's internal methodology or external sources. These draft RTS are part of the deliverables included in the roadmap for the new market and counterparty credit risk approaches.