Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Measures of counterparty credit risk (CCR) surged at UK banks in the first quarter on the back of the coronavirus-induced trading boom.
Standard Chartered saw its CCR risk-weighted assets increase 41% between end-2019 and end-March, to $21.7 billion. Capital requirements are calculated as 8% of RWAs, meaning the bank had to put aside $1.7 billion to cover potential losses from imploding derivatives and securities financing transactions (SFTs) trading partners.
The quarter-on-quarter percentage
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