Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Credit Suisse disclosed a a Sfr1 billion ($1 billion) drop in risk-weighted assets (RWAs) linked to its sovereign portfolio in 2019. Over the course of last year, it also moved the majority of its sovereign debt holdings under the standardised approach for calculating capital charges in 2019.
Sovereign exposures dropped just 2% over the period, whereas RWAs fell a whopping 37%. It is understood the decrease was related to the offloading of certain high-risk exposures. The risk density of Credit
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