EU dealers’ IRC charges surge on debt market jitters

Santander and Natixis among hardest hit, with charges up 117% over first six months of the year

A trading book charge quantifying the risk of issuer default or credit downgrade for unsecuritised credit products surged at European Union banks in the first half of the year, amid the threat of a continent-wide recession and a rapid climb in interest rates.

The incremental risk charge (IRC) is one of the core components of the internal models approach to calculate market risk capital requirements, alongside value-at-risk, stressed VAR and the comprehensive risk measure.


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