New CVA regime to hike affected RWAs fivefold at EU banks

Moving to the Basel Committee on Banking Supervision’s updated credit valuation adjustment (CVA) framework will increase European banks’ risk-weighted assets (RWAs) for these exposures by 558% on average, a study by the European Banking Authority shows. 

The incoming revised CVA framework, to be implemented in 2022, will hit global systemically important banks (G-Sibs) hardest, increasing their CVA RWAs by 622% on average relative to current levels. Eight G-Sibs were included in the EBA sample