Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
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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