US CVA charges over seven times higher than EU

The median credit valuation adjustment (CVA) capital charge for US global systemically important banks (G-Sibs) was 7.7 times larger than for European banks at end-2017, reflecting different implementations of Basel capital rules between the two jurisdictions. 

The median capital charges for the US and European Union G-Sibs were $2.1 billion and $275 million, respectively.

Aggregate CVA charges for the eight US G-Sibs were $16.3 billion, compared to just $3.7 billion for the 12 EU G-Sibs at en

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: