Strong dollar pushes ANZ’s CVA charges up 57%

- By Lorenzo Migliorato
- 17 Nov 2022

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ANZ’s credit valuation adjustments (CVAs) generated almost A$1.4 billion ($935 million) in new risk-weighted assets (RWAs) in the three months to end-September, driven by an appreciating US dollar whipping up FX volatility.

RWAs stemming from CVA and contributions to central counterparty (CCP) default funds – which ANZ reports under a single figure – surged 57% to A$3.9 billion, the highest end-quarter figure since March 2021. A spokesperson said the surge was driven nearly all by the CVA

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