RBC expands market risk model scope

Moving assets off standardised approach contributed to 6% quarter-on-quarter RWA decline

Royal Bank of Canada posted a C$2 billion ($1.5 billion) drop in market risk-weighted assets (RWAs) in the three months to end-July, primarily driven by switching to using its internal model to calculate capital requirements for certain fixed-income products. 

The 6% fall brought total market RWAs down to C$29.4 billion.

Market RWAs calculated using the standardised approach fell to $12.5 billion from $13.3 billion quarter-on-quarter, as the bank integrated products that affected its interest

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