Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Big US banks disclosed large increases in the amount of risk-weighted assets (RWAs) consumed by over-the-counter derivatives, repo and margin loan trades over 2020. The build-up reflected the rapid growth of these banks’ OTC portfolios as well as a deterioration in the creditworthiness of trade counterparties.
Citi reported a near-51% increase in counterparty credit risk (CCR) RWAs over 2020, to $120.3 billion. The total exposure at default (EAD) of its derivatives, repo and margin loan trades
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