SA-CCR to add up to £5bn to Lloyds’ RWAs
Further headwinds are expected to come from CRD IV implementation
The switch to a new leverage regime and the implementation of new models related to mortgages are expected to increase Lloyds’ risk-weighted assets (RWAs) on January 1, 2022.
The move to the standardised approach to counterparty credit risk (SA-CCR) – a more risk-sensitive framework than the current exposure method – will increase the bank’s RWAs by £3 billion–5 billion ($4 billion–7 billion) at the start of next year.
Lloyds’ CCR RWAs fell £75 million to £5.9 billion in the second quarter
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
Derivatives
Axes that matter: PCA with a difference
Differential PCA is introduced to reduce the dimension in derivative pricing problems
Receive this by email