Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
Rabobank moved a swathe of credit risk-weighted assets (RWAs) from the advanced to the foundation internal-ratings based approach (A-IRB and F-IRB) in last year’s fourth quarter, on the eve of Basel III’s adoption – one of the largest such reshuffling yet disclosed in the wake of the reforms’ adoptions.
The Dutch bank said that, as a strategic move ahead of Basel III’s implementation in the European Union on January 1, it switched a corporate loan portfolio from A-IRB to F-IRB modelling, which
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