CVA capital at top UK banks falls £260m in H1

The capital held by the five largest UK banks against credit valuation adjustment (CVA) to their derivatives portfolios fell by £260 million ($335 million) in the six months to June 30, Risk Quantum analysis shows.

HSBC led the way with a $300 million reduction, or 38%, as a result of CVA risk-weighted assets (RWAs) falling from $9.5 billion to $5.7 billion. Lloyds Banking Group posted CVA capital charges of £73 million, down £39 million from the end of 2017, a fall of 35%.

Standard Chartered

To continue reading...

You need to sign in to use this feature. If you don’t have a 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 individual account here: