SA-CCR more a burden to Credit Suisse than UBS in 2020

Lorenzo Migliorato
Louie Woodall
18 Mar 2021

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Risk-weighted assets (RWAs) at Credit Suisse for counterparty credit risk (CCR) calculated under the standardised approaches increased 134% over 2020. At Swiss rival UBS, the increase was a milder 28%. This reflected the different amount of exposures each bank has in their non-modelled portfolios.

Overall, CCR RWAs increased 11% at each bank last year: at Credit Suisse to Sfr22.6 billion ($24.4 billion) and at UBS to $40.4 billion. However, at each bank a different CCR calculation contributed

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