Credit Suisse’s trading loss bond slashed RWAs

By Owen Sanderson
01 Dec 2016

Credit Suisse’s catastrophe bond protecting the bank from its own operational risk losses cut more than Sfr1bn from risk-weighted assets in the bank’s Global Markets unit, following an improvement in regulatory treatment. But the Basel Committee looks set to close off this route to cutting capital costs.

Credit Suisse closed the controversial issue, Operational Re, in May, placing Sfr220m of investor notes which formed part of a Sfr270m insurance policy, covering the bank against various “operational risks”. This could include fraud, rogue trading, hacking, ‘fat fingers’ or other problems.

The issue was smaller than originally ...

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