Portfolio shifts aided credit RWA reductions at Dutch banks in 2020

At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation

Big Dutch banks culled their credit risk-weighted assets (RWAs) over 2020 even as their loan books expanded – in part by shifting exposures between standardised and internal model capital approaches.

At ING, ABN Amro and Rabobank, total credit RWAs fell over the year to end-2020 by 5%, 3% and 6%, respectively, even as credit exposure at default (EAD) increased 3%, 4% and 8%.

At ABN Amro, RWA savings were concentrated in those portfolios covered by the internal ratings-based approach (IRB) for

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