Virus volatility swelled CVA charges at Barclays, NatWest in H1

Capital charges to cover credit valuation adjustment on over-the-counter derivatives surged at top UK banks over the first six months of the year. Barclays alone saw its CVA charge climb 58% over the period.

CVA risk-weighted assets (RWAs) at the bank amounted to £3.9 billion ($5.1 billion) at end-June, translating to a capital requirement of £316 million – up from £200 million at end-December. Exposures subject to the CVA treatment increased less than 10% to £17.8 billion over the period. The

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