Total Risk Weighted Assets increased by $5,917m (+2.1%) in the December 2008 quarter. Movement in RWA was largely a result of volume growth, exchange rate impacts and some deterioration in credit quality, notably in the Corporate Asset Class.
Total interest rate risk weighted assets reduced to zero due to the increase in embedded gains on Investment Term of Capital providing an offset to repricing and yield curve risk as measured by VaR.
Standardised risk weighted assets increased by 25.0% due to exchange rate impacts and continued expansion in Asia.
Credit risk weighted assets relating to securitisation exposures decreased by 11.0% impacted by the movement of exposures from securitisation to the Corporate Asset Class (-$0.7bn RWA).
Credit risk Specialised lending exposures subject to slotting criteria decreased by 5.0% due to a large exposure downgrade to default, carrying an increase in Regulatory Expected Loss rather than being included in RWA.
Corporate risk weighted assets increased due to some mark-to-market increases in derivatives and exchange rate impacts on a small number of lower quality counterparties. A few additional counterparty downgrades led to some overall deterioration in the portfolio.
Sovereign risk weighted assets decreased due to a reduction in exposures to relatively higher risk counterparties.
Bank risk weighted assets reduced by 11.2%, largely driven by a continued relative improvement in the profile.