UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
UniCredit’s market risk-weighted assets (RWAs) at end-March would have been 75% higher under the revised standardised approach of the Fundamental Review of the Trading Book (FRTB), offering an early glimpse of how the new framework – whose adoption in the European Union is being pushed back to 2027 – could reshape capital intensity for the bloc’s top dealers.
RWAs for trading book exposures
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