Isda study reveals size of Covid’s trading book capital hike

Photo of Scott O'Malia — Scott O’Malia, Isda

Samuel Wilkes
@wilkkes
20 Nov 2020

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A study by the International Swaps and Derivatives Association has found trading book risk-weighted assets faced an average increase of 25% across 20 banks during the bout of volatility in March this year.

As the coronavirus swept across the world and governments imposed lockdowns, dealers saw their calculations for determining RWAs for market risk, counterparty credit risk and credit valuation adjustments spit out higher requirements due to the volatility.

Bankers and Isda warn that the

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