Citi shed over $32bn of counterparty exposures in Q4

Exposures-at-default (EAD) related to derivatives, repo and margin loan counterparties tumbled -16% at Citi over the last three months of 2019. Risk-weighted asset (RWA) amounts, which are used to determine capital requirements, for these exposures fell almost as much: -12%. 

Counterparty credit risk (CRR) EAD totalled $175.7 billion at the bank at end-2019, compared with $208.2 billion in Q3 2019, the highest they’d been since at least Q2 2014. Year-on-year, CRR EADs were up +4%.

RWAs for

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