Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
Citi’s core risk-based capital requirement was again determined by its own internal models in Q2, as the bank’s own view of its riskiness exceeded estimates set by the regulator-set standardised approach for the second consecutive quarter.
The New York-based bank posted risk-weighted assets (RWAs) as calculated using the advanced approaches, which use the firm’s own data inputs and modelling techniques, of $1.21 trillion at end-June. The RWA value assigned using the standardised approach was
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