On 15 March 2021, the European Banking Authority (EBA) published 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 for 2020. The reports cover credit risk for high and low default portfolios as well as market risk.

The report on credit risk presents the key results of the 2020 supervisory benchmarking exercise for both high-default portfolios and low-default portfolios. The reference date for the data is 31 December 2019, and submissions were received from 119 institutions at the highest level of consolidation. The main objectives of the report are to: (i) provide an overview of the variability of RWAs and of its drivers for IRB banks in EU Member States; (ii) summarise the latest results of the supervisory assessment of the quality of the internal approaches in use; and (iii) provide evidence to policymakers for future activities relating to the IRB approach. The report includes an analysis on the newly introduced portfolios on specialised lending exposures and the newly introduced split for large corporates portfolio.

The report on market risk summarises the conclusions drawn from a hypothetical portfolio exercise that was conducted by the EBA during 2019/20. The primary objective of the exercise was to assess the level of variability observed in RWAs for market risk produced by banks’ internal models. The exercise was performed on a sample of 54 European banks from 14 jurisdictions.