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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

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: