StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Required capital to cover credit valuation adjustment (CVA) risk at Standard Chartered vaulted to $177 million in the three months to end-September, 39% higher on Q2 and 80% higher than the same quarter a year ago.
Following the latest surge, CVA now accounts for 13.4% of the bank’s counterparty credit risk (CCR) capital requirement of $1.3 billion, up from 10.8% at end-June and 8.3% in Q3 2018.
CVA capital requirements also increased quarter on quarter at Barclays, RBS and Lloyds.
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