SA-CCR switch pushes Goldman below Collins floor

Early adoption at the end of 2021 adds $15 billion of RWAs

The adoption of the new standardised approach to counterparty credit risk (SA-CCR) in the last quarter of 2021 added around $15 billion to Goldman Sachs’ standardised risk-weighted assets (RWAs), pushing the bank below the so-called Collins floor.

The switch – which US banks could elect to do ahead of the January 1, 2022 deadline – lifted Goldman’s RWAs, as assessed using the regulator-set approach, up 2% for the quarter, to $677 billion. Modelled RWAs, on the other hand, dropped 3.6% to $648

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