The European Banking Authority (EBA) has published two reports on the consistency of risk weighted assets (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, small and medium-sized enterprises and other corporate portfolios (collectively referred to as “high default portfolios” or HDPs) 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.

The main objective of the report on HDPs is to provide an update on the monitoring of RWA variability in order to understand the drivers of such variability and to define possible measures for addressing them.

The report on market risk outlines the conclusions obtained from a market hypothetical portfolio exercise that was conducted by the EBA during 2015/16. The main objective of the exercise was to assess the level of variability observed in market RWAs produced by banks’ internal models.

View EBA 2016 reports on consistency of RWAs, 3 March 2017

Leave a Reply

Your email address will not be published. Required fields are marked *