Shift out of models nets Credit Suisse 37% sovereign RWA cut

Credit Suisse moved the majority of its sovereign debt holdings under the standardised approach for calculating capital charges in 2019, a shift that contributed to a Sfr1 billion ($1 billion) drop in risk-weighted assets (RWAs) linked to this portfolio. 

At end-2018, sovereign exposures modelled using the advanced internal ratings-based (A-IRB) approach totalled Sfr83.7 billion, against just Sfr14 billion assessed using the standardised approach. But a year on, A-IRB exposures numbered just