PRA sets StanChart’s structural FX risk under Pillar 1 requirement
Market RWAs expected to rise $3 billion–4 billion next quarter as a result
Standard Chartered expects market risk-weighted assets (RWAs) to increase by $3 billion–4 billion in the fourth quarter following the Prudential Regulation Authority’s (PRA) decision on the treatment of structural foreign exchange risk.
Currently assessed as a Pillar 2A requirement – a bank-specific buffer applied on top of minimum capital requirements – StanChart will need to start treating it as a Pillar 1 requirement instead. This means the bank must risk-weight its unhedged structural FX
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