Citi’s capital charge to cover counterparty risks jumped 11% in the third quarter, even as its exposures shrank.

Counterparty credit risk-weighted assets (CCR RWAs), used to calculate capital requirements, amounted to $108.5 billion at the bank as of end-September, and exposures at default (EAD)$218.3 billion, down 6% on Q2. This translated to a risk density – RWAs divided by EAD – of 49.7%, up from 42.6% three months prior.

Exposures with a probability of default (PD) above 0.5% made up 35%

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#### Derivatives

###### An approximate solution for options market-making

An algorithm for the market-making of options on different underlyings is proposed