CVA charges for Canadian dealers edge off Covid highs

The ‘Big Five’ Canadian banks reported a drop in the amount of capital required to cover credit valuation adjustment (CVA) risk over the three months to end-October. These charges had piled up earlier on in the coronavirus crisis.

Aggregate minimum required CVA capital amounted to C$3.5 billion ($2.7 billion) at the end of the Canadian financial year, down 5% on end-July and 10% on end-April, in the immediate aftermath of the Covid-inspired economic crash. Still, required CVA capital was up 15%

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