Citi’s counterparty credit risk charge up 38% in Q1
Counterparty credit risk (CCR) exposures linked to over-the-counter derivatives, repo and margin loans leapt far higher at Citi over the first quarter than at rivals JP Morgan, Bank of America and Wells Fargo, regulatory filings show.
CCR exposures-at-default (EAD) hit $263.4 billion at the New York-based bank at end-March, up 50% on three months prior. Risk-weighted asset (RWA) amounts for these exposures, which are used to determine CCR capital charges, swelled by 38% to $110.9 billion. This
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk Quantum
7 days in 60 seconds
Stress testing, home working and the move to €STR
The week on Risk.net, August 8–14, 2020
Receive this by email