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

Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets

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

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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