ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
ABN Amro transferred the bulk of its credit risk portfolio to the standardised approach (SA) in the third quarter. The change caused its risk-weighted assets (RWAs) to surge, but that increase was offset largely by the removal of regulatory add-ons.
At the end of September, the Dutch bank’s standardised credit risk RWAs stood at €88.1 billion ($102.2 billion), up from just €7.5 billion three
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