Top UK banks slash CVA capital charges by £680 million
Hedging, market movements, and cuts to exposures behind reductions
The five largest UK banks cut credit valuation adjustment (CVA) capital charges by £680 million ($967 million) in 2017, Risk Quantum analysis shows.
Barclays led the way with a £299 million reduction, as a result of CVA risk-weighted assets (RWAs) falling from £6.7 billion to £3 billion. Standard Chartered posted the highest percentage decrease, shrinking its CVA capital charge by 80%, from £148
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