Credit RWAs for EU, UK banks up in Q1 amid IRB clampdown
Reforms to improve comparability of internal models compound declining asset quality
UK and European Union banks’ modelled credit risk-weighted assets (RWAs) lurched higher in the first quarter, as the regulatory straightening of internal-ratings based (IRB) models compounded deteriorating asset quality at some lenders.
The turn of the year marked the deadline to implement the European Banking Authority’s (EBA) IRB model repair programme, which has been ongoing since 2016. It also saw the adoption of an harmonised definition of default for the bloc and, in the UK, the
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