BNP Paribas’ CVA capital charge hits record high

Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June

BNP Paribas’ credit valuation adjustment (CVA) capital requirements jumped 18% in the second quarter to the highest ever reported, off the back of rising counterparty risk in the over-the-counter book.

CVA risk-weighted assets (RWAs) rose from €5.1 billion ($5.2 billion) at end-March – which already marked a record high – to €6 billion at end-June, the most since the bank started disclosing charges in 2014.

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The CVA charge accounted for 12.4% of the bank’s total counterparty credit

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