HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
HSBC’s standardised market risk-weighted assets (RWAs) more than doubled in the fourth quarter of 2021, as capital requirement add-ons for potential currency swings were translated into RWAs, taking a heavier-than-forecast toll.
Standardised approach market RWAs totalled $13.3 billion as of end-December, compared with $6.5 billion three months prior, after regulators mandated structural foreign exchange risk be baked into RWAs. The risk was previously covered by a Pillar 2 add-on to capital
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