Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Counterparty credit risk (CCR) exposures linked to over-the-counter derivatives, repo and margin loans leapt far higher at Citi over the first quarter than at rivals JP Morgan, Bank of America and Wells Fargo, regulatory filings show.
CCR exposures-at-default (EAD) hit $263.4 billion at the New York-based bank at end-March, up 50% on three months prior. Risk-weighted asset (RWA) amounts for these exposures, which are used to determine CCR capital charges, swelled by 38% to $110.9 billion. This
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