Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
The amount of capital required to cover counterparty credit risk (CCR) at Lloyds surged 11% in Q3, far outpacing increases for other risk categories.
Risk-weighted assets (RWAs) for CCR hit £7.4 billion ($9.6 billion) at end-September, which translates to a £592 million capital requirement. This compares with £531 million in Q2 and £584 million in Q3 2018.
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