EU banks’ incremental risk charges soared in volatile H2

Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas

The incremental risk charges (IRCs) of several European Union banks spiked during the second half of 2023, amidst ongoing volatility in European and US credit markets.

A Risk Quantum analysis of 14 EU dealers shows that nine of them saw a rise in the peak IRC reading – the maximum potential loss from the default or downgrade of trading securities – with BNP Paribas posting the biggest increase. 

The French bank’s IRC touched a high of €594 million ($645.4 million) during the six-month period, a

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