Citi’s counterparty credit RWAs surge 12% in Q3

Bank has increased OTC derivatives exposures 15% year-to-date and repo exposures by 37%

Capital needed to cover over-the-counter derivatives, repo and margin loan risk at Citi jumped $792 million in the three months to end-September as the bank piled up counterparty exposures.

Exposures-at-default (EAD) related to these transactions hit $208.2 billion for the third quarter, up 13% from $184.4 billion at end-June. Year-to-date, Citi’s counterparty credit risk (CCR) exposures have climbed 23%.

Risk-weighted assets (RWAs) for these exposures touched $91.2 billion in Q3, making for a

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