Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Barclays cut counterparty credit risk-weighted assets by £9.2 billion ($12 billion) in 2018, after winning regulatory approval to use the modelled exposure measurement approach on its portfolio.
Total CCR RWAs fell to £28.8 billion at end-December – a 24% drop from the year ago quarter. The lion's share of the reduction, £7.8 billion, resulted from the expansion of the modelled approach. The share of CCR calculated using Barclays’ own internal models jumped to 52% from 47% over the year
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