ECB’s models review heaped €275bn of extra RWAs on banks

Average bank CET1 capital ratio fell 71bp through Trim process

The European Central Bank’s sweeping audit of in-house risk modelling has saddled eurozone lenders with €275 billion ($331 billion) of extra risk-weighted assets (RWAs), eroding their aggregate Common Equity Tier 1 (CET1) capital ratio by an average of 71 basis points.

The Targeted Review of Internal Models (Trim), which kicked off in 2016 and ended last year, sought to address RWA output variations across firms where these were not warranted by actual differences in underlying credit and

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