Credit Suisse swaps into higher yielding dollar rates for op risk

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By Jasper Cox
02 Oct 2019

Credit Suisse has found one way to deal with low interest rates in Europe: switch into another currency. The Swiss bank has conjured up an extra Sfr250m ($250m) of net interest income (NII) per year from changing how it hedges the capital to meet its operational risk.

The bank has decided to calculate its risk weighted assets (RWAs) for group operational risk in dollars, rather than Swiss francs.

This does not change the actual amount of RWAs. At the end of the second quarter, operational RWAs came to Sfr70bn out of a total of Sfr291bn. But ...

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