ABN Amro braces for 35% jump in RWAs
ABN Amro warned investors about the potential impact of the incoming Basel IV output floor on its risk-weighted assets in its latest annual report, claiming the new rule would increase its RWAs by more than a third.
The output floor prevents banks’ internal model-generated RWAs from falling below 72.5% of the amount generated by the standardised approach.
Based on year-end 2017 figures, the Dutch bank expects this floor to increase total RWAs by 35%, although the potential impact may differ
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