ECB model review continues to eat at ABN Amro’s capital

Model updates prompted by supervisory inspections added €1.3 billion ($1.5 billion) to ABN Amro’s risk-weighted assets in the first quarter, denting its core capital ratio.

The Dutch lender saw RWAs climb to €108 billion at end-March, up 3% on the quarter.  

Credit RWAs were up by €2.2 billion (2.8%) to €83 billion on the quarter, and €3 billion (3.7%) on the year. Of this quarterly increase, €1.3 billion was due to changes made to ABN’s internal models as part of the European Central Bank’s