Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
Citi’s risk-weighted assets calculated under the regulator-set standardised approach (SA) increased in 2018 while those generated by its own models shrank for the second consecutive year.
Total RWAs measured using the SA stood at $1.17 trillion at end-2018, up $15.6 billion (1.4%) from a year prior. In contrast, internally modelled RWAs dropped $19.6 billion (1.7%) to $1.13 trillion.
Standardised RWAs exceeded their modelled counterparts by $38 billion at the end of last year, up from just
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