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Credit Suisse sees $250M rise in NII due to change in risk calculation

Credit Suisse Group AG's board decided to calculate risk-weighted assets in U.S. dollars instead of Swiss francs, in a move that is expected to result in a $250 million annual increase in net interest income.

The bank said Oct. 2 that its board determined that it would be better to align capital usage to the currency in which its relevant risks originate.

The change, which has been approved the Swiss Financial Market Supervisory Authority, will be implemented in the fourth quarter and is seen to increase the proportion of the group common equity Tier 1 capital that is hedged into dollars.

Credit Suisse said the increase in net interest income will be hedged over at least a two-year period, with an initial contribution expected in the fourth quarter. The $250 million amount is equivalent to a return on tangible equity benefit of roughly 50 basis points in 2020, based on the hedging strategy and current market-implied forward rates.

The Swiss lender said it will continue to report its financial results in francs.