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%.
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