ABN Amro, Intesa lead EU IMA users with RWA surges

Rates volatility tests models in their twilight years before FRTB forces shelving

Interest rate volatility during the first quarter of 2024 played havoc with the modelled market risk charges of several European banks, hitting them with increases of up to 25%.

Fifteen out of 25 internal model approach (IMA) users in the European Union analysed by Risk Quantum saw higher risk-weighted assets (RWAs) compared with end-2023, with an average climb of 11.1%.

ABN Amro and Intesa Sanpaolo reported the largest proportional increases in IMA outputs, of 25.3% and 21.4%, respectively. Both

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