EBA has published its second interim report on the consistency of risk-weighted assets (RWAs) in lower default portfolios (sovereign, institutions and large corporates) of EU banks' banking books. This second analysis has involved a comparative benchmarking portfolio exercise. Some of the inconsistencies detected, driven by differing bank and supervisory practices, will be tackled through CRR-mandated technical standards, but additional efforts will be needed in terms of:
- enhanced supervisory disclosure;
- exchange of best practice among supervisors and banks;
- additional guidelines and technical standards on low default portfolios; and
- benchmarks or constraints, such as floors or fixed values, for some Internal Ratings Based (IRB) parameters.
(Source: EBA Reports on Banking Book RWAs)