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The European Banking Authority (EBA) published 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.

Market Risk exercise.     The Report presents the results of the 2022 supervisory benchmarking and summarises the conclusions drawn from a hypothetical portfolio exercise (HPE) conducted in 2021/22.

From a risk factor perspective, FX and commodity portfolios exhibit a lower level of dispersion than the interest rate, equity and credit spread asset classes. Except for a minority of instruments, the variability is lower than in the previous exercise. This is likely to be due to a decrease in market volatility, which impacted the level of the risk measures, thus decreasing the dispersion.

Regarding the single risk measures, across all asset classes except for credit spread the overall variability for the VaR is lower than the observed variability for stressed VaR (sVaR): 21% and 28% respectively, compared with 27% and 31% in 2021 and with 18% and 29% in 2020.[1] More complex measures such as the incremental risk charge (IRC) show a higher level of dispersion (45%, compared with 43% in 2021, and 49% in 2020).

Competent authorities also complemented a questionnaire on banks participating in the exercise to supplement the quantitative analysis. Although the majority of the causes were identified and actions put in place to reduce the unwanted variability of the hypothetical RWAs, the effectiveness of these actions can be evaluated only with ongoing analysis.