Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Top eurozone dealers saw capital charges for their securitisation exposures lurch higher over the first half of the year, in part due to a mandatory change to the risk-weight floor used to backstop assessments of their creditworthiness.
Deutsche Bank led a set of four systemically important eurozone lenders in risk-weighted asset (RWA) amounts for securitisation exposures in the banking book. These increased 22% over the six months to end-June, to €14.2 billion ($16.8 billion). Trading book
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