CVA exemption ignored in UK's capital shortfall exercise
Risk-weighted assets at Royal Bank of Scotland would have been £36 billion lower if exemption agreed earlier this year had been recognised
The UK's Prudential Regulation Authority (PRA) ignored a change to Europe's incoming capital regime when it published a review yesterday showing a £13.6 billion capital shortfall at Royal Bank of Scotland (RBS). In a footnote, the PRA warns the change – finalised in March – means the numbers it worked from may differ from those published by the eight UK banks involved.
In the case of RBS, the difference is significant. The bank would have had £36 billion less in risk-weighted assets (RWAs)
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