Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Credit Suisse and UBS have built up credit and counterparty credit risk (CCR) exposures over the past three years while market and operational risk charges have receded.
The two Swiss global systemically important banks (G-Sibs) had combined risk-weighted assets of $561 billion at end-June, of which 67.9% were credit and CCR-related. This is up from $503 billion and 64.6% in Q2 2016.
UBS expanded the share of its total RWAs attributable to credit and CCR exposures to 65.2%, from 59.8%, over
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